Deadlocks are captured automatically in Azure Database.Below is how you can view them

Using SYS.EVENT_LOG DMV


SELECT * FROM sys.event_log   
WHERE event_type = 'deadlock'   
AND database_name = 'Database1';

This DMV used to take long time for us.so we contaced MSsupport,they gave me one more query just to read deadlocks,though you can modify the XMl


SELECT *, CAST(event_data as XML).value('(/event/@timestamp)[1]', 'datetime2') AS timestamp
                     ,CAST(event_data as XML).value('(/event/data[@name="error"]/value)[1]', 'INT') AS error
                     ,CAST(event_data as XML).value('(/event/data[@name="state"]/value)[1]', 'INT') AS state
                     ,CAST(event_data as XML).value('(/event/data[@name="is_success"]/value)[1]', 'bit') AS is_success
                     ,CAST(event_data as XML).value('(/event/data[@name="database_name"]/value)[1]', 'sysname') AS database_name
              FROM sys.fn_xe_telemetry_blob_target_read_file('el', null, null, null)
              where object_name like '%deadlock%'