If you have firewall configured for the ADLS Gen2 Storage account which blocks public access, You will need to configure network rules to allow access for subnets containing the compute resources for DBX SQL Serverless in your workspace region.

Detailed explanation can found here. And the Databricks SQL Serverless subnets for your region can be found here.

If you need an automated network rule creation utility, you can use this PowerShell script.

param(
    [Parameter(Mandatory)]
    [string]
    $SubnetFile,
    [Parameter(Mandatory)]
    [string]
    $AccountName,
    [Parameter(Mandatory)]
    [string]
    $ResourceGroup
)

[string[]]$subnet_file = Join-Path -Path $PWD.Path -ChildPath $SubnetFile
$subnetFromFile = Get-Content -Path $subnet_file
foreach($subnet in $subnetFromFile) {
   az storage account network-rule add -g $ResourceGroup --account-name $AccountName  --subnet $subnet
}

Save this as configure-subnets.ps1 and in a separate file copy the list of the subnets. You could then run it like:

./configure-subnets.ps1 -AccountName "<storage-account-name>" -ResourceGroup "<resource-group-name>" -SubnetFile subnet_list.txt