I think using the mendix buildpack for Cloud Foundry it should be possible to use an Azure Blob store as your central blob store.
https://github.com/mendix/cf-mendix-buildpack
See this information:
https://github.com/mendix/cf-mendix-buildpack#configuring-external-filestore
You can configure the runtime to use Azure blob storage to save your file documents: https://forum.mendix.com/link/questions/85571
You can use Server side encryption to encrypt File Documents in azure, client side encryption (handled by the business server) is currently not supported.
You could create a widget to directly upload to Azure, but there is no support for this in mendix.