Why SQL OpenXML isn't supported in SQL Azure? and what are the alternatives we can use with SQL Azure? and finally, would SQL OpenXML be deprecated in upcoming SQL versions?
Two alternatives are:
1) Nodes() and Value() functions
See Restrictions of Stored Procedures in SQL Azure and Value(), Nodes(), and OpenXML().
See Introduction to XQuery in SQL Server 2005 and SQL Server 2005 XQuery and XML-DML - Part 1.