Apparently it is possible to use the 'Azure Files' type of storage to provide a cloud-based shared folder that on-premise Windows can access, map a drive letter to and so forth.
It is also apparently possible to then run an EXE off that share as long as you are using SMB3, so Windows 8 and up. However I would envision a potential world of hurt with permissions and so on.
If the data is in Azure SQL this is really a job for a browser-based front end. Maybe you could knock something up in a low-code tool like PowerApps to do it.