@Joe Au Thank you for your query!!!
In order to make VM access the file share you can make use of Azure File share. In order to use an Azure file share outside of the Azure region it is hosted in, such as on-premises or in a different Azure region, the OS must support SMB 3.0.
You can use Azure file shares on a Windows installation that is running either in an Azure VM or on-premises.
You can refer to this for more info.
Hope it helps!!!
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