SQL Server Azure database supports the T-SQL, but no at all! For the SQL Server Azure and T-SQL are available three list (Supported, Partially Supported & Unsupported - statements):

Supported T-SQL statements.

• ALTER (SCHEMA, VIEW, ROLE)
• BEGIN...END
• CAST & CONVERT
• DROP (SCHEMA, ROLE, LOGIN, USER, VIEW, STATISTICS, etc)
• ORDER BY
• OUPUT
• RAISERROR
• SET (DATEFIRST, DATEFORMAT etc...)
  etc.
  Check for the full list here.

Partially supported T-SQL statements.

• ALTER (DATABASE, FUNCTION, INDEX, PROCEDURE, etc)
• CREATE (TABLE, INDEX, TRIGGER etc)
• GRANT (Database Persmissions, Database Principal Permissions etc)
• DROP (DATABASE, INDEX, TABLE, TRIGGER, etc)
  etc.
  Check for the full list and further details here.

Unsupported T-SQL statements.

• BACKUP & RESTORE
• BULK INSERT
• RECONFIGURE
• DATABASEPROPERTY
• DBCC (HELP, CHECKDB, CHECKTABLE, SHRINKFILE etc)
• RECONFIGURE
  etc.
  Check for the full list and other details here.

Let's take a look with an example:

~You cannot use:
SELECT * INTO NewTableName
FROM SourceTable
to create direct new table with T-SQL statement.

In this case you should create the NewTableName with the same structure as source table:

CREATE TABLE NewTableName
(
        Fields datatypes
        ... same structure as source_table

);
GO

then

INSERT INTO NewTableName (Fields...)
SELECT Fields...
FROM SourceTable

* Check for more samples.

~~~
Stay Tuned!