Hello there,
You should configure the Storage Pools locally on each node before adding the servers into the Windows Server Failover Cluster
If you are creating a SQL Sever failover cluster instance (FCI) in Azure, you can use Storage Spaces Direct (S2D) and configure Storage Pools to set-up the Cluster Storage.
Storage Spaces Direct overview https://learn.microsoft.com/en-us/azure-stack/hci/concepts/storage-spaces-direct-overview
I hope this information helps. If you have any questions please let me know and I will be glad to help you out.
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