Can't connect to Azure Database

What do you mean "path and correct password"? We've definitely got the correct password for logging into the two azure databases we've tried (MySQL and MS SQL, tried via plain MS SQL option and via Azure SQL database option from the "Get Data" icon on toolbar), and tried combinations of usernames with the @ in and without, and using tcp:hostname.com as well as just hostname.com for the server name, I think I even tried tcp:x.x.x.x with an IP address that the azure.microsoft.net (or whatever it is) resolves to. Using Direct Query mode all the time, alternative credentials from Windows default, have even tried running PowerBI Desktop as an administrator and made a couple attempts to connect (though my user I login as on Windows, with a password, does have strong permissions).

Connections to the database work fine from the same Windows 10 install that the PBI desktop runs on when using any other method we've tried that should work, from the ms server management studio, or for MySQL from HeidiSQL and from command-line (and even from command line on a Linux VMware vm running on the same host). It won't connect; when trying to talk to the MariaDB (MySQL) on a different (non-Azure) host, that also works from all the other places, which doesn't have SSL enabled, I don't even see tcp packets arriving at the 3306 port and the firewall is not blocking them as any other client works to that one.