Hi @arkiboys
Check out this similar post https://learn.microsoft.com/en-us/answers/questions/321814/file-cannot-be-opened-because-it-does-not-exist-or.html
This problem usually happens because your Azure Active Directory identity doesn't have rights to access the file. By default, serverless SQL pool is trying to access the file using your Azure Active Directory identity. To resolve this issue, you need to have proper rights to access the file. Easiest way is to grant yourself 'Storage Blob Data Contributor' role on the storage account you're trying to query.
Ensure you have Storage Blob Data Contributor role (Use to grant read/write/delete permissions to Blob storage resources).
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If this is helpful please accept answer.