Azure's storage offerings have evolved a fair bit since this post was created, by today the following is possible:
Direct access to blobs from QSEoW may be difficult/impractical, but you can do something like this (proven to work):
1. Store files in Azure Storage as blobs. Upload to blob storage using azcopy or other tool. 2. Move files over to Azure file shares using a basic Azure Data Factory flow. 3. Mount the file as a data connection in Sense 4. Load the files into Sense via the data connection.
There are probably other variants of Azure products that can be combined to achieve the same thing (e.g. putting the data in Cosmos DB, then querying using the Cosmos ODBC driver would also work).
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