@Madhurima Nath Welcome to Microsoft Q&A Forum, Thank you for posting your query here!
Can you please the document which states "Storage account firewall rules aren't supported"?
Which deployment scripts are you using(ex: ARM)?
You can set the Firewall rules through portal, for more information refer to this article
Note: Turning on firewall rules for your storage account blocks incoming requests for data by default, unless the requests originate from a service operating within an Azure Virtual Network (VNet) or from allowed public IP addresses. Requests that are blocked include those from other Azure services, from the Azure portal, from logging and metrics services, and so on. You can grant access to Azure services that operate from within a VNet by allowing traffic from the subnet hosting the service instance. You can also enable a limited number of scenarios through the exceptions mechanism described below. To access data from the storage account through the Azure portal, you would need to be on a machine within the trusted boundary (either IP or VNet) that you set up.
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