Look into Azure IOT Hub. It has front end interfaces for MQTT, AMPQ and HTTPS for ingesting data with a security model ready to go. I believe there is already event triggers to get data directly into a DB. You can also have an Azure function triggered (which can be written in C#, javascript or python) to deal with the ingestion.
I have been using Redis quite a bit for caching data before going to a cold storage DB.
If you are recording TimeSeries data, a SQL DB is often the worst way to store data. Since almost all data will be inserts, you need to be smart about partitioning if you plan to scale. A transitional RDBMS stores data in a way that is not conducive to scaling time series data. (Related to the be b-tree). If you are staying in Azure, Looking in Cosmos or Azure tables. I saw a 10x performance increase for an equivalently priced service. The key is to 1st understand how you plan to partition, store and query your data. The DB technology will follow suite.
Technologies suchas InfluxDB do a good job for storing time series. If this is a one-off then forget everything I just said and get it work anyway you can. If this has a any scale factor (i.e. thousands of devices) then you need to think about this ahead of time.