Give an example or create a connection with Azure Data Warehouse?

To create connection with any of the Azure/Cloud (for that matter it can be AWS, GCP etc.) you should have an active subscription to Cloud data storage services. Also, point to be noted here is that before you propose a solution for a connection with Azure/Cloud you should always do a POC to check whether SSRS is really compatible of it or not?

Now on data source front all you can create connection simply selecting the SQL SERVER as a source

Once selected, click on Edit to create a connection string and provide your azure specific credentials and database string. This will help you to get the things straight and connect you to the SQL SERVER in Azure area.