Given those volumes, I think it makes a lot of sense to store all the images from one event in a separate place in Azure. We do something like this - but in S3 and our separation is all items for a particular site go in their own folder. This makes it a lot easier for me to create a backup of the media for a given site.

What you need to do is create a collection for each event and store the images (and documents) for that event in their own collection. The later is accomplished by giving your image, rendition, and documents models a get_upload-to method that prepends the collection name to the usual Wagtail paths. Here is some code extracted from our project https://gist.github.com/cnk/b361f540330e9f400875ba3d86e61904

I would also suggest that you may want to write a manage command to upload your images into Wagtail. Something along the lines of this blog post https://cynthiakiser.com/blog/2022/07/02/import-files-into-wagtail.html