Yes according to my understanding the cross cloud architecture is the creating the issue,but there is one more noticeable  thing Mosaic Streaming is not automatically faster than UC Volume access.

In your particular workload, I would actually test

UC Volume → local NVMe cache → PyTorch as the primary architecture before investing further in Mosaic Streaming.

Databricks' current Azure guidance is quite aligned with that. For unstructured data such as images, Databricks recommends UCVolumeDataset, which copies files from the UC Volume to local storage on first access and serves subsequent epochs from the local cache. Databricks explicitly notes that /Volumes access is network-bandwidth limited and recommends local caching for multi-epoch training.