Unable to connect (Power BI to Azure SQL Database)

Slowly bit by bit I’m getting steps ahead in setting up my SQL database on Azure and connecting it to Power BI Desktop on Azure Virtual Machine, but there is something not connecting and I don’t see why.

When I try to connect my Power BI Desktop to the SQL database, it returns: “Unable to connect”

“We encountered an error while trying to connect.

Details: Microsoft SQL: Cannot open server ‘abcdefg.com‘ requested by the login. 

The login failed”

‘abcdefg.com‘ refers to my domain. However the strange thing is that my Azure platform is not connected to this domain.
Only my (Microsoft 365/Exchange) login credentials refer to my company. My login is like ‘john.doe@abcdefg.com‘
So, I don’t see how the login fails.

I also tried to use  the .pbids file provided at the Power BI option, but the same problem returns.

Is anyone familiar with this problem and how to solve it ?
Is there maybe an instruction video in the learning resources of Microsoft or on YouTube ?