Basically, Azure SQL database can only load files in Blob storage via BULK INSERT and OPENROWSET language features.
BULK INSERT dbo.test
FROM 'data/yourFile.txt'
WITH ( DATA_SOURCE = 'YourAzureBlobStorageAccount');
The way you have scripted is only available in SQL server 2016 and Azure SQL Data Warehouse now.
I hope this will help.
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