I think the problem is that it is inside SELECT, so functionality in SQL is lost as it will generate a SELECT statement first.

Please try to remove select, and you can use inferSchema to avoid CAST.

copy into my_db.t2
from ('wasbs://user@user.blob.core.windows.net/*.csv')
fileformat=csv
FORMAT_OPTIONS ('header' = 'true',
                                 'sep' = ',',
                                 'inferSchema' = 'true',
                                 'badRecordsPath' = 'wasbs://user@user.blob.core.windows.net/badRecords')