How to query Azure Data Lake? [closed]

No there is not (yet). Sure, you can run a query using the portal or using Visual Studio (docs) or Visual Studio Code (docs) but all those tools will provide access to the generated file (which can be easily obtained or previewed)

Main reason is that u-sql / data lake analytics is geared toward long running jobs (that can take up from a few minutes to hours) to process the vast amount of data. Keeping that in mind you can hopefully better understand why these kind of direct query tooling is not (yet?) available.

EDIT: try upvoting this on the feedback site. What you are asking is a highly requested feature.

You can download the Azure Data Explorer form here https://azure.microsoft.com/en-us/features/storage-explorer/Upload, download, and manage Azure blobs, files, queues, and tables, as well as Azure Cosmos DB and Azure Data Lake Storage entities. Easily access virtual machine disks, and work with either Azure Resource Manager or classic storage accounts. Manage and configure cross-origin resource sharing rules

You can create External table in SQL Server pointing to Data Lake Files.Only thing is we have to take care of the schema changes manually.