No, SQL Azure does not support filetable, nor filestreams. You can store your files in Azure Blob Storage (see How to use the Windows Azure Blob Storage Service) and store metadata about files (name, type, URL location) in SQL Azure DB.
For a list of SQL Server feature limitations in Windows Azure SQL Database refer to Azure SQL Database Transact-SQL information.
For a list of ALTER DATABASE
options supported by Windows Azure SQL Database refer to ALTER DATABASE (Transact-SQL).