How to query between two databases with the same server in SQL Database?
Currently we are aiming to link two azure databases that will update simultaneously.
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Cross-database queries are not available in Azure SQL Database. You need to use Elastic Query to query across multiple Azure SQL Databases or move to a Managed Instance, which does support cross-database queries but obviously has a higher cost and other implications.
Linked servers are not available on Azure SQL Database, but reading your needs, you really need to get both databases updated at the same time. You may want to consider using Azure SQL Data Sync to get those databases updated/synchronized.
Here you will find a get started tutorial.