Hi,
You will need to have your on-premise environment networked into the cloud environment with the appropriate permissions.
and/or
The SQL server you are connecting to would required the FetchXML "plugin" to be installed. (SQL natively does not understand FetchXML).
and/or
The login you use should also be on the target server, it looks like the user is not there.
You may also require a reverse proxy to allow the information back in to your on premise environment.
just some idea's
Don