As Moodle_site_moodle_directory mentioned about moodledata folder:
"moodledata" is a folder that contains user files, course files, site language, cached and other information. It is created in the Moodle install process. It should be located outside of the "moodle" folder and is called by default "moodledata".
Also, as this discuss in moodle forum about dataroot folder:
Dataroot is a folder (aka directory) not a file, many files are stored within it. When setting your dataroot in your config.php this should be a reference to a file-system location that the webserver can read and write to, you simply cannot do this over HTTP.
Per my understanding, you could host Moodle on Azure VM and mount Azure File Storage from the Azure VM that hosts the moodle website, then you could leverage the mounted file share as the dataroot.
Here are some tutorials, you could refer to them:
1.Install Moodle on Azure VM
Access bitnami to launch a free demo Moodle hosted on Azure VM. Or log into Azure Portal, input the keyword "moodle" under "Marketplace > Everything" blade, choose the Moodle and create it as follows:

2.Create your file share and mount it from your VM
Mount the file share from an Azure virtual machine running Windows
Mount the file share from an Azure virtual machine running Linux
3.Change dataroot location
https://docs.moodle.org/20/en/Creating_Moodle_site_data_directory