Per my investigation, cosmos db only has 5 api so far : SQL API,Mongo API,Table API,Graph API(for apache gremlin) and Cassandra API. It doesn't support storing any data with RDF model.
If you do concern about whether ms has related plan, you could submit feedback here to get official comment from ms team.
If your requirement is urgent,maybe you could get idea about Amazon Neptune which supports RDF model.
