not 100% certain of the question but let me try find out more;
so you have an iPhone application, that you want to get data out of a SQL Azure database. Correct?
there would be two options I can see. stand up some application / services layer that would proxy the requests to your SQL data and host this in Azure Compute.
or expose your SQL Azure data as ODATA and access directly from the iPhone application.
have you had a look at the excellent toolkit we published for iPhone apps and Azure?
This toolkit will show you exactly how to do a number of things with Azure from the iPhone
I think you can create a RESTful or Data service to access SQL Azure (make a query of database, call SQL Azure reporting service, etc), You can create a WCF webrole or just use WorkRole (without IIS) for archieve your goals, the
IPhone application need only call that service for data.
I think RESTful is a better choice for IPhone, i am not 100% sure that IPhone application can supports SOAP service, but i am sure the RESTful service is supported. And RESTful service also supports JSON and XML data as the response text.