Backup to local and MIRROR TO Azure Files returns ERROR
I can't see that you are using backup to URL. It looks like a local drive and a file share.

If you read about mirrored backups you see that there are some special requirements:

"Mirroring applies both to disk and tape (disks do not support continuation tapes). All backup devices for a single backup or restore operation must be of the same type, disk or tape."

"Within these broader classes, you must use similar devices that have the same properties. Insufficiently similar devices generate an error message (3212). To avoid the risk of a device mismatch, use devices that are equivalent, such as, only drives with the same model number from the same manufacturer."

https://msdn.microsoft.com/en-us/library/ms175053.aspx