Azure SQL DW (now called Azure Synapse Analytics) can’t currently connect to another DW. Polybase currently just reads from files.
You could create a small Azure SQL Database to use to connect to the DWs as follows:
CREATE MASTER KEY ENCRYPTION BY PASSWORD = 'pass@word1';
CREATE DATABASE SCOPED CREDENTIAL DWCredential
WITH IDENTITY = 'usernameHere',
SECRET = 'passwordHere';
CREATE EXTERNAL DATA SOURCE DWDataSource WITH
(TYPE = RDBMS,
LOCATION = 'yourservername.database.windows.net',
DATABASE_NAME = 'yourdw',
CREDENTIAL = DWCredential,
) ;
CREATE EXTERNAL TABLE [dbo].MyName
( [ProductKey] [int] NOT NULL,
[ProductAlternateKey] [nvarchar](25) NULL,
[EndDate] [datetime] NULL,
[Status] [nvarchar](7) NULL)
WITH
( DATA_SOURCE = DWDataSource
,SCHEMA_NAME = N'dbo',
OBJECT_NAME = N'YourDwTableName')
select * from MyName
--or run an exact query against SQL DW directly:
exec sp_execute_remote @data_source_name = N'DWDataSource', @stmt = N'SELECT distinct ModelName from dbo.DimProduct'