To answer my own question, I have here the reward for my week-long quest.
For anyone else who needs to capture SQL statements as they hit the Azure database, this will do it.
1. Look up information on Extended Events. This link is good.
https://msdn.microsoft.com/en-us/library/mt733217.aspx a) in SQL Server Management Studio (I used SSMS from SQL Server 2016 because it's more compliant with Azure), expand the database tree.
b) Extended Events -> New Session
2. Give the session a useful name.
a) No need to tick any of the boxes
b) Events page, these will be the events the session will capture, so just find the events starting with 'sql_'. I only selected
sql_batch_completed and
sql_statement_completed. Move them into the right-side pane.
c) Click the Configure button, and select
sql_text and any other properties you may need such as database name, hostname etc.
d) Data Storage page. Select
ring_buffer.
e) Advanced page. Select '
No event loss (not recommended)'. I select this one as I want to capture every event as it comes to the database just in case the session happens to miss the actual command I need.
f) Set
maximum dispatch latency to 1 second.
g) Click OK to save the session.
3. a) Right-click the session and Start. You will now be capturing events
b) In Jiwa, do what you need to do.
c) Keep the session running, in Management Studio, expand the Session tree and you will see a new entry
package.ring_buffer. Double click it, and then click the link which displays.
d) The results are displayed in XML, not not too user friendly to read, but you should be able to locate the SQL text you're after.
e) If you're happy you've found what you need, stop the session.
Knock yourself out. If anyone knows of third party utilities which do much the same but display the results in a nice grid or table, let us know.