Hi Lawrence --
SQL Azure is essentially SQL Server in the cloud, so unless your "local" SQL Server is poorly tuned and your "Azure" instance will be better cared for, I'm not sure you'd see very much of a difference. Or perhaps you're thinking about SQL Data Warehouse? That is Microsoft's MPP database in Azure (sort of like AWS's Redshift)...it could be more performant.
Tableau puts most of the work on the database so I'd expect comparable performance unless your dashboards are requesting large amounts of disaggregated data as this is where network latency will kick in.
Thanks a lot