There was a similar discussion a few months ago, about a collaboration between Nick Cave and Warren Ellis. In that case, the consensus was to keep them split with a join phrase.
But there are a couple of differences in this case. The first is, by mashing up their names, they have essentially created a unique name for the duo. The How to Split Artists page has this: “…if the collaboration has its own name - for example, Band Aid - instead of being based on the collaborator’s names it should not be split, as there is no simple way to do so.” Because of this, I would be inclined to go with the single SorAZ artist.
The second difference I noticed: the two “collaborators,” ときのそら and AZKi, are not persons, but characters. Should they be treated the same as persons?