@goyani A safe and easy way to upload large data to your VM is to use the Azure blob storage to upload data to a container and then download it on your VM using the Azure storage explorer utility. This ensures your data is safe and secure on cloud and can also be used by Azure ML workspaces if required.
Another option is to transfer the files to your VM using scp with the help of key file created while launching the VM. This option to create & download the PEM file is only available while creating the VM though. I hope this helps to transfer your data to VM to run your experiments. Thanks!!