Make sure you are using the correct connection string to connect to Azure SQL Data Warehouse using Azure Databricks.
dwDatabase = "master"
dwServer = "azuresqldw"
dwUser = “azurewala"
dwPass = "*******"
dwJdbcPort = "1433"
dwJdbcExtraOptions = "encrypt=true;trustServerCertificate=true;hostNameInCertificate=*.database.windows.net;loginTimeout=10;"
sqlDwUrl = "jdbc:sqlserver://" + dwServer + ".database.windows.net:" + dwJdbcPort + ";database=" + dwDatabase + ";user=" + dwUser+";password=" + dwPass + ";"+dwJdbcExtraOptions
sqlDwUrlSmall = "jdbc:sqlserver://" + dwServer + ".database.windows.net:" + dwJdbcPort + ";database=" + dwDatabase + ";user=" + dwUser+";password=" + dwPass
#print(sqlDwUrl)
Reference: Azure Databricks - Azure SQL Data Warehouse
Hope this helps.