Firstly, make sure you have opened the "Allow access to Azure Service" in firewall setting.

What's your PSSA DB, single database or managed instance?
For single database:
The important thing you need to know that:

For managed instance:
To use copy data from an Azure SQL Database Managed Instance that's located in a virtual network, set up a self-hosted integration runtime that can access the database. For more information, see Self-hosted integration runtime.
If you provision your self-hosted integration runtime in the same virtual network as your managed instance, make sure that your integration runtime machine is in a different subnet than your managed instance. If you provision your self-hosted integration runtime in a different virtual network than your managed instance, you can use either a virtual network peering or virtual network to virtual network connection. For more information, see Connect your application to Azure SQL Database Managed Instance.
Here an tutorial can helps you: Azure SQL Managed Instances and Azure Data Factory: a walk-through.
Hope this helps.