@Fu, Shi Chao I understand you are having issues using Azure Cloud Shell. From your screenshots I can see that the storage creation failed error.
A list of troubleshooting steps can be found here. Based on the error message, it is possible that you don't have permissions to create a resource group and/or storage account. Please make sure that you have appropriate permissions to create these resources. Alternatively, you can use existing resource.
Hope this helps! Let me know if you are still having issues and I will be happy to help you.
Please remember to "Accept Answer" if any answer/reply helped, so that others in the community facing similar issues can easily find the solution.