Azure Files offers fully managed file shares in the cloud that are accessible via the industry standard Server Message Block (SMB) protocol, Network File System (NFS) protocol, and Azure Files REST API.
This covers how to load document objects from Azure Files. 
%pip install --upgrade --quiet  azure-storage-blob

from langchain_community.document_loaders import AzureBlobStorageFileLoader

loader = AzureBlobStorageFileLoader(
    conn_str="<connection string>",
    container="<container name>",
    blob_name="<blob name>",
)

loader.load()

[Document(page_content='Lorem ipsum dolor sit amet.', lookup_str='', metadata={'source': '/var/folders/y6/8_bzdg295ld6s1_97_12m4lr0000gn/T/tmpxvave6wl/fake.docx'}, lookup_index=0)]