I wanted to test how I can connect other than public data sources to my Azure Data Factory SSIS IR. Namely I wanted to be able to read files from a file share. Originally I thought I would need so called Self-Hosted Integration Runtime, but actually you can connect SSIS IR to your On-Premise data sources. If you don’t have SSIS IR, then you would need Self-Hosted IR connecting On-Premise data sources. It’s basically installs own Azure VM to your Azure environment.
I tested also connection to On-Premise SQL Server in other environment. It was quite tricky and took me a while until I found this article: https://docs.microsoft.com/en-us/sql/integration-services/lift-shift/ssis-azure-connect-with-windows-auth?view=sql-server-2017
According to it I needed to store my domain credentials into SSISDB like this: catalog.set_execution_credential @user='<your user name>’, @domain='<your domain name>’, @password='<your password>’
After that I finally got my connection to work. Of course other prerequisite was to open On-Premise firewall for connections from SSIS IR.
According to this document https://docs.microsoft.com/en-us/azure/data-factory/join-azure-ssis-integration-runtime-virtual-network I was supposed to create my own Azure Virtual Network and connect my SSIS IR and my Azure VM to that. Creation of VNet is straightforward task.