hi Will,
we do this a lot but with sap hana and on various cloud platforms. as you hinted at, it's just a matter of setting up an odbc connection to that particular sql server instance. if it's AWS then you need to ensure that the correct ports are open to communicate with the db and from what i found it looks like 1433 is the one you need. i'm not sure about azure as i've never used it but it looks like there's some config for its firewall as per here. you'll need to verify this info on the forum for the platform that you end up choosing though.
-jamie