One solution you can consider is using Azure File Sync.
Azure File Sync can be used to synchronize your Azure File Share with an on-premises Windows Server. End users can then access the files on this local server as they would with any other network drive. By doing this, you avoid giving them direct access to the storage account and its keys.
For more details on setting up Azure File Sync, refer to the official documentation: https://docs.microsoft.com/en-us/azure/storage/files/storage-sync-files-deployment-guide?tabs=azure-portal