Here is the situation, @Erik Olofsson - The limitation is with Polybase as it currently does not support Private Link at this time. As per the PG:
Polybase does not support using private link at this time. Please direct the customer to use Managed Identity to secure the connection to Azure Storage.
Albeit, this may not be a workable solution for you but, if the data you need to access is extracted to a storage account and then imported via the method referenced by the PG, this could be a workable solution. The same process is reversed with flip/flop endpoints, and could be done within the security of a VNET + Managed Identity.