There are not really good tutorials on Google Data Studio to use SSL with non-Google setups.
Azure is even less documented.
I found this for Azure. https://learn.microsoft.com/en-us/azure/postgresql/concepts-ssl-connection-security
There they provide the sslrootcert for the server BaltimoreCyberTrustRoot.crt.pem for download.
This doesn't help with the setup of the Data Source. Where normally I would expect a SSL = true feature, Google Data Studio requires a full certificate offering rather than figuring it out itself.
There are no useful error messages.
Flipping of SSL on the Postgres server works just fine.