So - after working with 8 MS engineers we determined that it can not be done. Even using a Private Link. So if you want Direct Access clients to use a file server (other than an on-prem machine) you'll need to spin up a VM in Azure.
How do you make a Direct Access client see a Domain attached storage account in Azure ?
We use Direct Access on a lot of our laptops and it works great! Can see on-prem file shares...connect to SQL for Excel reports...But I cannot figure out how to get the DA clients to see a Domain attached Azure storage account. I can see Azure VMs in our Azure extended domain, as well as use the administrative C$ to see the file system...so the DA clients are definitely able to traverse the Azure extended domain and get to resources. On prem I can get to the Azure storage without issue...just the DA clients cannot see it. I hope I can use the storage account instead of spinning up a VM for file shares, but as of now that's my only option. Unless somebody knows how to make that work???