How to query an Extended Events target file on a SQL Azure Managed Instance by using T-SQL?
I don't know if this is the right solution, but here's is the workaround that worked for me, in case someone is facing the same issue.

I created a small Azure SQL Database (S1).
I created a master key for this database.
I created a scoped credential pointing to the Azub Blob where the XEL files from the Managed Instance reside in (using the same Shared Signature)

I was able to query by using
SELECT event_data FROM sys.fn_xe_file_target_read_file (N'https://whatever.blob.core.windows.net/xevents/MyTrace_132410674100570000.xel',NULL, NULL, NULL);

It seems like Managed Instance does not support the use of this function (or I wasn't able to find the way to do it).
Hope this helps someone.