Azure is not supported as a backend in pg_parquet right now, but shouldn't be hard to add (contributions welcome!)

https://github.com/CrunchyData/pg_parquet

It would not be safe to let any user access object storage. Therefore, pg_parquet has two roles called parquet_object_store_read and parquet_object_store_write that give permission to COPY FROM/TO object storage (but not local file system).

In pg_azure_storage there is a comparable azure_storage_admin role that needs to be granted to users that need Azure Blob Storage permission.