Today, I've been working on a service request very interesting.
If you need to create an alias for your Azure SQL Server, you have the PowerShell cmdlet called: New-AzureRmSqlServerDnsAlias.
The syntax to use is:
Login-AzureRmAccount
[string]$SubscriptionId = "xxxxxxxxxxxxxxxxxxxxx"
$azureCtx = Set-AzureRMConteXt -SubscriptionId $SubscriptionId
New-AzureRmSqlServerDnsAlias -ResourceGroupname 'Resource group' -ServerName myserver1 -DnsAliasName myserver12
Remember that there is not needed in the servername and dnsaliasname parameters use the domain .database.windows.net just only you need to specify the servername.
Enjoy!