Publish web api in Azure

I publish my web API in azure. I didn't create a new database in azure. Can I access to my datas store in sql server via controllers ? The error I get when I try to run my app is : "A network-related or instance-specific error occurred while establishing a connection to SQL Server. The server was not found or was not accessible. Verify that the instance name is correct and that SQL Server is configured to allow remote connections. (provider: Named Pipes Provider, error: 40 - Could not open a connection to SQL Server)"

I don't know if I have to create the database in azure or not ?