As mentioned on the Zend Developer Zone late yesterday, a preview of support for connecting the Zend Framework and Azure has been released by Microsoft:

Microsoft & RealDolmen have decided to make PHP SDK for Windows Azure available as part of Zend Framework. By extending support for Windows Azure through Zend Framework, millions of PHP developers that use Zend Framework can build web applications seamlessly targeting Windows Azure.

The proposal has been submitted and is going through the normal processes to have it included in a future release. You can find out more about the features and the goals of the connectivity in this post on the Interoperability @ Microsoft blog.