There is no direct way to change the collation for Azure SQL Database and Azure SQL Datawarehouse once they are created.
Do you need to change the collation on specific columns or the entire database.
You can change it on individual columns using the script below
ALTER TABLE dbo.MyTable ALTER COLUMN CharCol
varchar(10)COLLATE YOURTARGETCOLLATION NOT NULL;
GO
However if you need to change it on the entire database, you can do it via a .bacpac file.
Please refer to the instructions
here
Do let me know if you have further questions.
