There are no specific features for create a key-value store solution, as Memory-Optimized Tables can be used very efficiently for this kind of workload. Memory-Optimized tables can be configured to be Durable or Non-Durable. In the latter case data is never persisted and they really behave like an in-memory cache. Here's some useful links:
- In-Memory OLTP in Azure SQL Database
- Transact-SQL Support for In-Memory OLTP
- Optimize performance by using in-memory technologies
This repo contains what is needed to get a kickstart to implement a Key-Value store Azure SQL. The Jupyter Notebook contains the basic idea with some additional explanations and also with performance tests results. The SQL file contains everything neede to create the sample and run the test on your own.