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???
yes - a domain attached storage account...I havent tried that...kind of PITA to do that on all the affected laptops...if no other option then maybe...is there no Domain DNS setting that will point that Explorer request to the file share? \AzureVM1\sharedfolder works for me from a DA client...but then again AzureVM1 is in my DNS
I can always just spin up another VM in Azure and use that w/o issue...or massive PITA :)