From my experience the error is misleading and in my case it was due to networking configuration on the Storage Account.

It appears that if SA is set to not allow public network access from all networks - you will get the mentioned error when trying to export the database. (Yes, even if you check the "Allow Azure services on the trusted services list to access this storage account." option, which makes no sense.)

Try setting SA to allow all Public network access from all networks or use Private Link when setting up the Export of the database.