I was able to see in the portal that my sandbox account had a cloudshellXXXXXXXXX storage account. All Services --> Storage Accounts --> cloudshellXXXXXXXX(I think this number will be unique for everyone)
So I navigated to the advance settings in the storage account creation, change to the South Central US which matched what the storage account was using as it's location. Then I was able to create a new file share with a unique name. That allowed me to create the use the bash shell.