In Azure SQL database, you can create external table to point to other Azure SQL Databases but not to files in Azure storage
You can use On-premise SQL or Azure synapse server (Azure SQL DW Server) which has the polybase support.
See the polybase availability table - polybase-versioned-feature-summary
There is a feedback raised that you can upvote. Lot of users have been demanding this feature -
Please don't forget to Accept Answer and Up-vote if the response helped -- Vaibhav