Trouble reading JSON files from Azure Blob Storage into SQL Server

I have a file in Azure Blob Storage and I've been able to create an External Data Source in Azure SQL Server. I keep trying to open the JSON file and start parsing it using Azure Data Studio, but I keep getting this error: Msg 4861, Level 16, State 1, Line 2
Cannot bulk load because the file "xxxx_yyyy.json" could not be opened. Operating system error code 5(Access is denied.).
I have stored queries where I've been able to do this before, but I'm not able to run that query without getting the same error. I've tried re-creating my DataSource as well and running these, but the error is consistent.