A workaround is to embed the query in dynamic SQL
SELECT @sql = ' WITH cte
AS
(
SELECT BulkColumn
FROM OPENROWSET(
BULK ''azurestorage/blobpath.json'',
DATA_SOURCE = ''azureblobcontainer'',
SINGLE_CLOB) AS bc
)
And, yes, it's ugly. It would certainly be better if SSDT could get its act together.
You can report bugs here: https://feedback.azure.com/d365community/forum/04fe6ee0-3b25-ec11-b6e6-000d3a4f0da0.