I copied (copy & past) the script from https://raw.githubusercontent.com/microsoft/sql-server-samples/master/samples/databases/northwind-pubs/instnwnd%20(Azure%20SQL%20Database).sql
to SSMS, ran it, and refreshed the database but the north wind still does not appear.
The tables are loaded into your current database which you have already created. check in them. If you don't have any database created check in
Databases > System Databases > Master > Tables.