Following along with the Azure Documentation for your new MySQL service , it looks like you can configure SSL quite simply with your Trusted CA Cert.
After completing my steps and setting up my PHP connection string according to their documents, I get the following error:
Peer certificate CN=`AZUREREGION.control.database.windows.net' did not match expected CN=`MYDATABASE.mysql.database.azure.com' in testazure.php
I managed to get around the problem by changing the hostname of the connection from MYDATABASE.mysql.database.azure.comto AZUREREGION.control.database.windows.net, but I feel that this is probably not what I should be doing. Any guidance from people more knowledgeable about the Azure database for MySQL or PHP would be helpful!
----- UPDATE -----
I previously accepted Jason's answer below. His answer is NOT adequate. If you do as I mistakenly did above, you will eventually experience interruptions when MSFT decides to change the basic DNS resolution for your database.
I ended up stopping today because of this answer. I think you may need to answer my question in more detail. As I mentioned in my question, I felt that something had disconnected, changing the path of the "master" to the region. About 20 minutes ago, your internal DNS service changed the primary region entry for "MYDATABASE.mysql.database.azure.com" to "cr2.MYREGION.control.database.windows.net" instead of "MYREGION.control.database.windows.net" without warning. As such, I delete the accepted answer.