I raised a bug that the new Azure SQL (v14 ??) does not work with the current Thunder when deploying the SF database.
An initial deploy to Azure websites is (was) easy when it did work. Select to deploy to the cloud (select just the database option) and up it went.
Another issue is that Thunder does not like it when the connection string is moved to the web.config file.
I think the connection string is better in the web config file because it then allows you to change the connection string with web transforms as part of your publish profile. (Yes there is the option to use slow cheetah)
Also when deploying to the Azure cloud you often need to ensure that you do not deploy your local configuration folder. Within thunder it would be good that you could do a deploy and it give you deploy options such as exclude that folder. Along with considerations for file based image storage or the Search folder if using Lucene (And you have enabled write access as mentioned in the suggestion above)
The ability for thunder to deploy to Azure Websites. Check and compare configurations between local and cloud. Nice confirmation screen about what and how it will deploy. Deploying to Azure staging environments.