You can create an Azure Files (SMB) and mount it remotely on all the DSVMs. Alternately, you can connect to a OneDrive to share files. This way the sharedfile system will appear as a drive on Windows and as a mount point on Linux. You can mix and match Windows
and Linux accessing the same Azure Files.
Azure Files Documentation :
https://docs.microsoft.com/en-us/azure/storage/files/storage-how-to-use-files-windows
https://docs.microsoft.com/en-us/azure/storage/files/storage-how-to-use-files-linux
All packages needed to mount Azure Files should be there on the DSVM by default. You just have to mount and provide the right credentials to mount the Azure Files.