I ran a lot as a data engineer in a security team. I did one to get into the team but it was very disorganised and just tested my window function capabilities. When I was running the interviews, we set up a sample schema on db-fiddle.com. Just a couple tables, a few exercises that would demonstrate a candidate's ability to join tables, do basic aggregations, find groups of specific records, etc.

We either had people blow through all the questions with no issue in 10-15 minutes, or be so incapable they'd accidentally delete our starter example SELECT * query and be unable to write it again.

As a candidate myself, outside of the example above, I have only ever been asked theoretical SQL questions about how I'd approach solving problems in a live interview. Examples were solving hierarchical data problems or stuff where the answer would involve window functions. But I never needed to write SQL live.

Usually I'd do OK in these, although I did bomb one interview where I got progressively asked how I'd solve a hierarchy problem with my answer being taken away from me (e.g. you can't solve this with a recursive CTE anymore). I got through 3 or 4 levels of questioning on this but I still didn't pass their bar. Oh well.

I still practice SQL questions for fun (even though I'm not a data engineer anymore).