If you are using Azure Storage Account you can create an Azure File Share and map it as a local drive on an on-premise computer or an Azure VM as explained here. You can also use the "net use" Windows command to map the Azure File share on Windows.
net use [drive letter] \\[storage name].file.core.windows.net\[share name] /u:[storage account name] [storage account access key]
Le's say you map the files share where the JSON documents are located to a t: drive on a computer.
net use t: \\mystorage.file.core.windows.net\sharejson /u:myaccount hb5qy6eXLqIdBj0LvGMHdrTiygkjhHDvWjUZg3Gu7bubKLg==
Then you can run the following T-SQL statement to import the JSON files.= from the mapped drive (t:)
SELECT book.* FROM
OPENROWSET(BULK N't:\books\books.json', SINGLE_CLOB) AS json
CROSS APPLY OPENJSON(BulkColumn)
WITH( id nvarchar(100), name nvarchar(100), price float,
pages_i int, author nvarchar(100)) AS book