How to connect a Linux server with Wordpress 4.2 server to Azure SQL DB with PHP 5.4?

it won't connect when I run the Linux server to the SQL server.

Do you mean you couldn’t connect to SQL Azure from a Linux server while using sqlsrv drive? Please note, SqlSrv is a Windows driver, on Linux we can use PDO_DBLIB drive and PDO_ODBC (not recommend), more detailed info could be found at: http://php.net/manual/en/ref.pdo-dblib.php.

Code snippet via using PDO_DBLIB for your reference:

<?php
$dbHost = 'YourName.database.windows.net';
$dbUser = 'DBUserName';
$dbPass = 'DB Password';
$dbName = 'DB Name';
try {
    $pdo = new PDO("dblib:host=$dbHost:1433;dbname=$dbName", $dbUser, $dbPass); 
} catch (PDOException $e) {
    echo "Failed to get DB handle: " . $e->getMessage() . "\n";
    exit;
}

Code snippet via using PDO_ODBC for your reference:

$connection = odbc_connect("Driver={SQL Server};Server=$dbHost; Database=$dbName;", $dbUser, $dbPass);
    $qry = "SELECT * FROM Clienti";
    $result = odbc_exec($connection,$qry);
    // Get Data From Result
    while ($data[] = odbc_fetch_array($result));
        // Free Result
    odbc_free_result($result);
        // Close Connection
    odbc_close($conn);
        // Show data
    print_r($data);

AS to DB settings, please do not forget to manage allowed IP addresses on Azure portal, i.e. add your client IP address in Allowed IP Addresses section on Azure portal. https://msdn.microsoft.com/en-us/library/azure/ee621782.aspx#Troubleshooting

Feel free to let me know if I have any misunderstood on your issue.