The OPENROWSET(BULK...) function allows you to access files in Azure Storage.

For Example:

SELECT TOP 100 * FROM
    OPENROWSET(
        BULK 'https://azureopendatastorage.blob.core.windows.net/nyctlc/yellow/puYear=*/puMonth=*/*.parquet',
        FORMAT='PARQUET'
    ) AS [nyc]
SELECT
    YEAR(tpepPickupDateTime) AS current_year,
    COUNT(*) AS rides_per_year
FROM
    OPENROWSET(
        BULK 'https://azureopendatastorage.blob.core.windows.net/nyctlc/yellow/puYear=*/puMonth=*/*.parquet',
        FORMAT='PARQUET'
    ) AS [nyc]
WHERE nyc.filepath(1) >= '2009' AND nyc.filepath(1) <= '2019'
GROUP BY YEAR(tpepPickupDateTime)
ORDER BY 1 ASC