I looks like you are trying to use WinSCP on Linux, aren't you? Make sure your Azure function runs on Windows.

I created a Azure function that uses WinSCP to sftp in that was all working correctly on local. I followed the documentation created here in the form for a Microsoft function. But when I run it on the Azure function I get the following error.

Cannot use /home/site/wwwroot/WinSCP.exe

I used bash to connect to the function and confirm that the exe is in the location it is looking for it. As well as made sure to grab the location from the context as they did in the example.