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We have single sign on implemented, which uses Azure credentials for signing into Salesforce. Is there a way to create a connection in SOQL Studio using single sign on? I tried using OAuth, and it opens the Salesforce window to authenticate, but it doesn't like my credentials as they're not Salesforce credentials, but Azure.

SOQL Studio doesn't support SSO login directly, rather is does so via OAuth.  Are you able to use Data Loader with OAuth?  It should work the same with SOQL Studio.  I've found that in some companies that restrict logins to SSO, you have to login to the org in your default browser, then create the connection in SOQL Studio.  When the Salesforce credentials screen is presented, click the link to use a custom domain, enter that, and when it sends you back to the username/password screen, it should detect that you're already authenticated and make the connection.  I've also seen where it then asks you to verify your identity using an identity provider such as Salesforce Authenticator before it will connect.  Having said that, there are countless variations on how a company can lock down access to their Salesforce org, it makes it difficult to provide a concise set of instructions on how to connect, but we're happy to provide any help we can.  

Thank you! Using the log in with a custom domain worked perfectly!