Install software:

opkg update
opkg install python-openssl
opkg install distribute
easy_install requests
nano /mnt/sda1/getjson.py
#!/usr/bin/python
import requests, pprint
url = 'https://sonnyyu.azure-mobile.net/tables/sensor'
headers = { "Accept":"application/json", "X-ZUMO-APPLICATION":"X-ZUMO-APPLICATION-PASSWORD", "Host":"sonnyyu.azure-mobile.net" }
response = requests.get(url, headers=headers)
pprint.pprint(response.json())
chmod 755 /mnt/sda1/getjson.py

Testing:

/mnt/sda1/getjson.py