For anyone else with this problem I've managed to solve it.
You will need a domain joined file server upon which you need to install the feature DFS Namespaces (under File and storage services, File and iSCSI services)
Then you will need to modify the registry to enable the feature you need. Here is some PS to add the required keys.
New-Item `
-Type Registry `
HKLM:SYSTEM\CurrentControlSet\Services\Dfs
New-Item `
-Type Registry `
HKLM:SYSTEM\CurrentControlSet\Services\Dfs\Parameters
New-Item `
-Type Registry `
HKLM:SYSTEM\CurrentControlSet\Services\Dfs\Parameters\Replicated
New-ItemProperty `
HKLM:SYSTEM\CurrentControlSet\Services\Dfs\Parameters\Replicated `
ServerConsolidationRetry -Value 1
Then, using the DFS Management snapin in MMC you add a new namespace.
For the server you enter the name of the server on which DFS installed.
For the namespace name can either add the name of the server running DFS or, if you have an on-prem file server you're looking to replace, the name of that (as long as the actual file server is off and you've pointed an A record at this server with the old file servers name in your DNS server) but you must prepend a # to the name, so for example #SRVFILE01
This only works with standalone namespace, so select that, then click create. Once the namespace has been created you can add a new folder. The name will be the share the user sees, then under folder targets, add the path to your Azure file share.
Once this has all been done, users can browse to the file share at the server name you entered with the prepended # and Microsoft Office will not complain about it being an internet location.