In my opinion, it doesn't make sense, but...

you can Mount SMB Azure file share on a Windows Machine https://learn.microsoft.com/en-us/azure/storage/files/storage-how-to-use-files-windows and then mount the same folder on databricks using pip install azure-storage-file

This VSCode extension has Dbfs integration, so you can use it from your local machine (but the file will anyway finish on dbfs) https://marketplace.visualstudio.com/items?itemName=paiqo.databricks-vscode.