I don't know if this exists for Azure SQL, but it does for Azure Data Warehouse. They have a nice Audit/Threat Detection feature you can enable that allows you to view all the activity on the SQL instance. You can tap into it via API and download the logs. It also includes the executed statements, durations, effected rows, volumes, client info (i.e.: SSMS, PowerBI,...) etc. If someone is running a query, dropping a table, simply making a connection or failing one, you can look at it and log it to Blob storage and or export it out to Excel for further auditing/reviews.

I don't think it gives you all the bits whoisactive gives you, but gives you something to chew on. It also does not include the execution plans though, but they do exist with other monitoring tools.

With that, you can also setup notifications based on those logs where it can notify you via email. For example, you can have it alert you if any user fails to connect to the instance X times.