How to create shared folder between my on-premise Windows Server and Azure VM Server?
If you are new to Azure I would suggest ticking the "Copy the database backups to a different location that the target server can read and restore from" and manually copy the backup files to the target.

I tried setting up an SMB share in Azure to use as the backup location as per this article. The issue I ran into was that Azure does not allow anonymous access to files share (the request for the feature has been under review for more than 2 years)and you also can't enter the credentials in the Microsoft Data Migration Assistant, so this route doesn't seem like a solution at the moment.

The only other way I can think of is creating a permanent link with either ExpressRoute or VPN and then creating a share that can be accessed by both subnets.