Extending the DNN core and using SqlReliableConnection and Retry Manager.
To install, just open the solution and build with the deploy configuration. This will generate a package in the package directory. You can also browse here: https://github.com/JoshuaBradley/DnnAzureSqlConnectionProvider/releases/tag/V1.0 and just download the install package.
Once installed, the default provider will be set to use this. No additional modifications are needed.