Hi,
Yes, Azure has SFTP for Blob Storage. To use it you need a storage account with hierarchical namespace enabled. Once you have that you may browse to the storage account in the portal, click Settings -- SFTP blade, click Enable SFTP, confirm.
SSH File Transfer Protocol (SFTP) support for Azure Blob Storage
https://learn.microsoft.com/en-us/azure/storage/blobs/secure-file-transfer-protocol-support
NOTE: You are charged for every hour that SFTP is enabled, regardless of whether or not you use it. This amounts to hundreds of dollars per month if left enabled 24x7. To reduce cost it is best to enable it only when needed, then disable after finished transferring files.
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Thanks.
-TP