DocumentDB driver/package for R
There is one for MySQL. Not sure how hard it would be to build one for DocumentDB.
This is currently not on our roadmap. Will mark this as unplanned and leave open in case this changes.
Thank you for your suggestion.
A. S. commented
This exists in a limited fashion. Code has been posted on GitHub for providing basic parameters, and retrieving documents in a list format from the Document DB API.
Check it out at: https://github.com/aaron2012r2/cosmosR