The book in the Shaman class hall says that Azshara had her sceptre with her when she drowned and used it to shield her and her handmaidens. She kept it as a naga, until she passed it down to her sea witches to use. We find one of those sea witches, kill her, and take the sceptre.
But it’s also said the sceptre was lost and buried with an unknown priestess in a family tomb in Azsuna, waiting to be found.
Which was it?
Also is the sceptre destroyed now, or still in use? I remember seeing a vision of it in Nazjatar, but I cant remember if Azshara was just messing about or if she actually reclaimed it somehow and has it.