Hi @Dan.Thiru .
The Linked Server provider will only work to link another SQL Server and will not work in the case of Azure Analysis Server. Please see the following UserVoice entry (Linked Server to non SQL Sources) to up vote and comment upon this desired functionality.
You only are able to use the SQL provider to connect to Azure SQL Database, SQL Server or Azure SQL Managed Instance.
Please see the Azure Database Support Blog: Lesson Learned #63: It is possible to create Linked Server in Azure SQL Managed Instance?
Regards,
Mike