There are different solutions to mount Azure Blob (and many other cloud storage solutions...) as a local drive in a system, but I would be REALLY careful on this. The way those disk drivers are designed is to be optimized for a multitude of small files like a regular file system. Veeam backups are basically, from a file system point of view, a small amount of very large files.
This creates issues to those disk drivers because their local cache running in memory is really limited, and because of this they always have to flush the content and read again so many times during a backup. The problem then is that this flush/reload needs to happen over the internet connection...
By the way, this is one of the reasons for Veeam dismissing the Cloud Edition, it was using such a technology and was able to scale to really few VMs. Cloud Connect was exactly designed, among other reasons, to overcome these limits.
EMEA Cloud Architect @ Veeam Software
Veeam VMCE #1