Currently, the default time zone on Azure SQL DB is UTC. Unfortunately, there is not possible to change by server configuration or database configuration.
All Azure services use UTC time zone settings, regardless of their physical location. This also applies for SQL Azure, so if you need a custom time zone you'll have to manage that in the middle/front end tier.
One suggestion that we have is to review the new date/time function that AZURE SQL DATABASE provided as AT TIME ZONE and datetimeoffset you could find out the different time zones running the query: select * from sys.time_zone_info
For example, we could create the following function:
CREATE FUNCTION dReturnDate( @dFecha as datetime)
DECLARE @D AS datetimeoffset
SET @D = CONVERT(datetimeoffset, @Dfecha) AT TIME ZONE 'W. Europe Standard Time'
RETURN CONVERT(datetime, @D);
Running the query DBO.dReturnDate(getdate()) you could observe the results. Please, verify the timezone that you are working on with select * from sys.time_zone_info.