When the parameters are passed via the 'CSV Data Set Config' in the jmeter script, do we have a way of over-writing the values in Azure Load Testing tool,
I have away of externalising the parameters in Jmeter as well, in azure load testing, but when I combine both the values are not over-written
I don't think you can overwrite the JMeter Variable. You can overwrite the value of a JMeter Property so if you use __P() function to define some value in the test you can use user.properties file to give the property its respective value.
At the same time it would be possible to override the default property value via -J command-line argument.
More information:
If you have parameterization implemented via CSV files the only way of amending the values is changing the CSV file itself, in that case you can take a look at awk language and/or sed editor.