You can't mount a drive to Azure Files with just an Azure AD identity. You can either connect via a storage account key (why provides you with no file/folder level permissions) or else via domain services such as Active Directory or Azure Active Directory Domain Services which requires the device to be domain joined.
https://learn.microsoft.com/en-us/azure/storage/files/storage-files-active-directory-overview
https://learn.microsoft.com/en-us/azure/storage/files/storage-how-to-use-files-windows