I found several examples of connection strings for Azure SQL database here:

If you are planning on using OpenESQL with EXEC SQL embedded SQL support, then you would create a .NET COBOL program and connect to the database using its ADO driver.

I found an example of how to find the ADO connection string to use in the EXEC SQL CONNECT statement here:

For this example, the connect statement would then look something like this where you would replace connString with the connection string for your database.

01  connString    string. 
    
procedure division.
    set connString to "Server=tcp:myserver.database.windows.net,1433;Authentication=Active Directory Password;Database=myDataBase;UID=myUser@myDomain;PWD=myPassword;factory=System.Data.SqlClient;" 
    EXEC SQL 
        CONNECT USING :connString  
    END-EXEC