ALTER EXTERNAL DATA SOURCE
If a data source moves or changes then all external tables must be deleted, the data source deleted and recreated, then the external tables recreated.
This may be experienced during a data warehouse migration, and during a disaster recovery.
Support for ALTER EXTERNAL DATA SOURCE would make this a much more simple task.
Marco Fischer commented
No, it does not seem to work.
It might work on Azure SQL Database, but not on Azure SQL Data Warehouse with ADLS as external data source so far...
This appears to work now..
ALTER EXTERNAL DATA SOURCE [MyDatasource]
SET DATABASE_NAME = N'MyNewDB'