In Azure storage blob containers does not really support creating folders, folders are created as part of the path when uploading the file to the container, so there is no separate action that only creates empty folder. For example:
folder1/image.png
folderA/folderB/image2.png
And the SDK has API that supports getting the files based on "folder" path.
Powershell example of "creating" folder1 is:
Connect-AzureRmAccount
$storageAccount = Get-AzureRmStorageAccount -ResourceGroupName 'myresourcegroup' `
-Name 'storageaccount'
Set-AzureStorageBlobContent -File C:\tmp\0001.png `
-Container files `
-Blob 'folder1/0001.png' `
-Context $storageAccount.Context
This will respectively "create" folder1 and upload 0001.png to that folder