If your repository is not private, you will need to save the wp-config.php file in your Windows Azure instance (or load it after the fact in some way). Then, when the files are pulled into this directory from Github, wp-config.php (assuming the wp-config.php file is not in the repo), the file will already contain connection information.
If you have a private Github repository, then it is probably safe to leave the file and wp-config.php values ββin the repository itself, since only the users to whom you provide access to the repo can see it.
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