SqlBulkCopy fails in Azure SQL Server Managed Instance

Question

I'm trying to do a SqlBulkCopy in an Azure Sql Server Managed Instance and I get the following error as soon as the code reaches the SqlBulkCopy. Inserts, reads, updates work just fine.

Login failed for user 'myuser'.
   at Microsoft.Data.SqlClient.SqlInternalConnection.OnError(SqlException exception, Boolean breakConnection, Action`1 wrapCloseInAction)
   at Microsoft.Data.SqlClient.TdsParser.ThrowExceptionAndWarning(TdsParserStateObject stateObj, Boolean callerHasConnectionLock, Boolean asyncClose)
   at Microsoft.Data.SqlClient.TdsParser.TryRun(RunBehavior runBehavior, SqlCommand cmdHandler, SqlDataReader dataStream, BulkCopySimpleResultSet bulkCopyHandler, TdsParserStateObject stateObj, Boolean& dataReady)
   at Microsoft.Data.SqlClient.TdsParser.Run(RunBehavior runBehavior, SqlCommand cmdHandler, SqlDataReader dataStream, BulkCopySimpleResultSet bulkCopyHandler, TdsParserStateObject stateObj)
   at Microsoft.Data.SqlClient.SqlInternalConnectionTds.CompleteLogin(Boolean enlistOK)
   at Microsoft.Data.SqlClient.SqlInternalConnectionTds.AttemptOneLogin(ServerInfo serverInfo, String newPassword, SecureString newSecurePassword, Boolean ignoreSniOpenTimeout, TimeoutTimer timeout, Boolean withFailover)
   at Microsoft.Data.SqlClient.SqlInternalConnectionTds.LoginNoFailover(ServerInfo serverInfo, String newPassword, SecureString newSecurePassword, Boolean redirectedUserInstance, SqlConnectionString connectionOptions, SqlCredential credential, TimeoutTimer timeout)
   at Microsoft.Data.SqlClient.SqlInternalConnectionTds.OpenLoginEnlist(TimeoutTimer timeout, SqlConnectionString connectionOptions, SqlCredential credential, String newPassword, SecureString newSecurePassword, Boolean redirectedUserInstance)
   at Microsoft.Data.SqlClient.SqlInternalConnectionTds..ctor(DbConnectionPoolIdentity identity, SqlConnectionString connectionOptions, SqlCredential credential, Object providerInfo, String newPassword, SecureString newSecurePassword, Boolean redirectedUserInstance, SqlConnectionString userConnectionOptions, SessionData reconnectSessionData, Boolean applyTransientFaultHandling, String accessToken, DbConnectionPool pool)
   at Microsoft.Data.SqlClient.SqlConnectionFactory.CreateConnection(DbConnectionOptions options, DbConnectionPoolKey poolKey, Object poolGroupProviderInfo, DbConnectionPool pool, DbConnection owningConnection, DbConnectionOptions userOptions)
   at Microsoft.Data.ProviderBase.DbConnectionFactory.CreatePooledConnection(DbConnectionPool pool, DbConnection owningObject, DbConnectionOptions options, DbConnectionPoolKey poolKey, DbConnectionOptions userOptions)
   at Microsoft.Data.ProviderBase.DbConnectionPool.CreateObject(DbConnection owningObject, DbConnectionOptions userOptions, DbConnectionInternal oldConnection)
   at Microsoft.Data.ProviderBase.DbConnectionPool.UserCreateRequest(DbConnection owningObject, DbConnectionOptions userOptions, DbConnectionInternal oldConnection)
   at Microsoft.Data.ProviderBase.DbConnectionPool.TryGetConnection(DbConnection owningObject, UInt32 waitForMultipleObjectsTimeout, Boolean allowCreate, Boolean onlyOneCheckConnection, DbConnectionOptions userOptions, DbConnectionInternal& connection)
   at Microsoft.Data.ProviderBase.DbConnectionPool.TryGetConnection(DbConnection owningObject, TaskCompletionSource`1 retry, DbConnectionOptions userOptions, DbConnectionInternal& connection)
   at Microsoft.Data.ProviderBase.DbConnectionFactory.TryGetConnection(DbConnection owningConnection, TaskCompletionSource`1 retry, DbConnectionOptions userOptions, DbConnectionInternal oldConnection, DbConnectionInternal& connection)
   at Microsoft.Data.ProviderBase.DbConnectionInternal.TryOpenConnectionInternal(DbConnection outerConnection, DbConnectionFactory connectionFactory, TaskCompletionSource`1 retry, DbConnectionOptions userOptions)
   at Microsoft.Data.ProviderBase.DbConnectionClosed.TryOpenConnection(DbConnection outerConnection, DbConnectionFactory connectionFactory, TaskCompletionSource`1 retry, DbConnectionOptions userOptions)
   at Microsoft.Data.SqlClient.SqlConnection.TryOpen(TaskCompletionSource`1 retry, SqlConnectionOverrides overrides)
   at Microsoft.Data.SqlClient.SqlConnection.Open(SqlConnectionOverrides overrides)
   at Microsoft.Data.SqlClient.SqlConnection.Open()
   at Microsoft.Data.SqlClient.SqlBulkCopy.CreateOrValidateConnection(String method)
   at Microsoft.Data.SqlClient.SqlBulkCopy.WriteRowSourceToServerAsync(Int32 columnCount, CancellationToken ctoken)
   at Microsoft.Data.SqlClient.SqlBulkCopy.WriteToServerAsync(DataTable table, DataRowState rowState, CancellationToken cancellationToken)
   at Microsoft.Data.SqlClient.SqlBulkCopy.WriteToServerAsync(DataTable table)

The same code works on an on premises SQL Server 2022.
Can anyone suggest what is the reason why are getting this error?