Shannonry, I don't have a BOL link, but in Management Studio do:
View - Registered Servers
Right-click on local server groups and select New Server Group, give it a name
Right-click on the new group name after it is created and select New Registered Server
In there on General tab specify the server name, connection and on the Connection Properties tab specify your first database. Complete the wizard. Then do the same with the second database. etc so you will need separate registered servers for all your azure databases. You do it only once. It is good to give the each connection the the name that will tell you what database you are connecting to.
After you do that once, each time you need to run a query on all databases update queries included) you just right -click the group name and select New Query. It will take time to connect to all databases and in the query window it will show server name as Multiple. The query results will additionally include the server name for each result.
You can avoid working with the UI for 27 servers by looking up where the registered servers XML file is located and editing it. Create a first connection in the Management Studio, then edit the file.