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Is there a way to capture output from sp_whoisactive on another server?

I am currently using sp_whoIsAcive to capture performance data and am storing this on the server for later analysis. But I also have several Azure hosted servers and it’s not possible to be able to run the sp via a scheduled task.
Is there a way I can fire off then sp on another server to gather the info from an azure db and collect the output onto the server where the sp was fired from?