@Sarvesh Pandey I shared this conundrum with a coworker, who referred me to this article:
[https://community.powerbi.com/t5/Power-Query/Downloading-stock-data-from-NSE-India/td-p/1805031
Of particular interest:
I also found that there is a python package (nsepy) that scraps the data from NSE site.
I'm thinking try using this package in either Data Factory Custom Activity, or Azure Synapse Python Notebook. Both should be able to write to Azure Data Lake.