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We are using Azure Data Factory to copy SQL data from on premise to Azure Data Lake. For this we have installed Self hosted IR in one of the VM in On Premise environment.

Question- The On-Prem VM (with self hosted IR) has to be kept running and incurs additional infra cost. Is there a way to use Azure IR instead for using Self Hosted IR to copy data using ADF from on prem SQL to Azure Data Lake?

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I dont think there is a way to do this, unless you want to expose your onprem database to the internet (which is not recommended). If you do that then maybe you are able to connect to it via AzureIR.

Remember that it doesnt need to be a dedicated vm just to host the IR, you can use it to do other tasks while the IR is not being used.

Hope this helped!