all the data "in" databricks is stored wherever you say you want it stored. Databricks can connect with and manage via unity catalog multiple sources.

It sounds like you just want to make sure that all your storage is in your same azure tenant which is the basic standard setup youd have a storage blob/server/hyperscale etc etc in azure that is associated with your tenant and that is the storage that databricks would.

Azure Databricks is not a storage account - your storage will be self directed in whatever capacity you choose, obviously, chosing to store on an azure storage account makes sense here, as does having that storage account in the same azure tenant as the databricks environment