I'm not sure I understand the question. But I'll take a stab at answering it anyways. :)
Windows Azure is at its simpliest, a platform for hosting applications. That said, the ability to utilize a specific database from an application is based on what the language(s) that application was developed in will support. So having a Java application
connect to SQL Server, SQL Azure, Oracle, mySQL is less about if Windows Azure can support thoe database then it is about if Java can.
Now hosting a database in Windows Azure is a seperate matter entirely. That does depend on what the platform itself will support. Unfortunately, that question often goes back to the database vendor. SQL Azure and mySQL are both scenarios I've been done in
Windows Azure successfully. And Hadoop and MongoDB (while not traditional relational databases) are both also supported as well (the Hadoop framework is in preview at this time).