I take a look back at the past and forward to the future:
PolyBase used to connect to Azure Blob Storage. Specifically, you could use the
wasbs://protocol and connect to Azure Blob Storage over WebHDFS. Here’s an example of an external data source which would work for SQL Server 2016 through 2019:
SQL Server 2022 changes its mechanisms around Azure Blob Storage a little bit, though I think the changes are sensible.