Linked servers in managed instances support a limited number of targets:
· Supported targets are Managed Instances, Single Databases, and SQL Server instances.
· Linked servers don't support distributed writable transactions (MS DTC).
· Targets that aren't supported are files, Analysis Services, and other RDBMS. Try to use native CSV import from Azure Blob
Calling the external package from one of your VMs (DTEXEC or a an agent job) with the OLEDB access driver installed would be the solution, as opposed to calling it from the MI instance.
Please find more details at Linked Servers
Hope this helps.