Based on a request by Microsoft Test Consultant Robert George, this SQL Snacks
along with a tool I am releasing to the community will allow you to run a Transact-SQL workload on Azure SQL Database, capture the xel files to Azure Blob Storage, and then process them to produce an executable Transact-SQL Script that duplicates the captured workload.
The source code (quite simple) is available on my GitHub repo https://github.com/bobtaylor29708/xel2sql