You can change the collation at the time you create an Azure SQL Database.

On an existing database you can use the procedure explained here and shown below:

1. Export the Azure SQL as bacpac
2. Make you have a modern version of sqlpackage that support the /ModelFilePath parameter (we added it about a year ago).
3. Open the .bacpac file using winzip or 7-zip
4. Copy the model.xml to a local folder “C:\Temp\model.xml”
5. Edit the “C:\Temp\model.xml” with the desired collation. For example change the value for "Property Name = Collation" to "Latin1_General_BIN".
6. Run the import using sqlpackage.exe, but use the /ModelFilePath:C:\Temp\model.xml parameter to override the model.xml in the .bacpac. For example: sqlpackage.exe /Action:Import /tsn:[server].database.windows.net /tdn:[database] /tu:[user] /tp:[password] /sf:"C:\Temp\database.bacpac" /ModelFilePath:C:\Temp\model.xml
7. Zip the files again
8. Rename the zip to DBNAME.bacpac 9 - Do the import 10 - You can check the collation in the fields with this query.

SELECT T.name, C.name, C.collation_name
    FROM sys.tables T
    INNER JOIN sys.columns C
    ON T.object_id = C.object_id
    WHERE C.collation_name IS NOT NULL