When trying to connect to the Azure DW or Azure DB you can experience the following failure, Cannot connect to <servername>.database.windows.net. One or more errors occurred (mscorlib)
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Updated May 07, 2020
Version 4.0
Blog Post
Try installing the following Driver and see if it works if you are using SSMS 2018 - that resolved my issue.
https://www.microsoft.com/en-us/download/confirmation.aspx?id=56730
Or may be https://www.microsoft.com/en-us/download/confirmation.aspx?id=56567 if you're using SSMS 2016