Of course that you can run a code on Azure to do the download. But as you didn't want to run WinSCP on Azure, I didn't expect that you are willing to run anything else there. So do I now understand right that you are asking for WinSCP GUI to inject a code to Azure to facilitate the remote download? Sorry, that's unlikely to ever happen. That's imo too ad-hoc requirement. There are so many different cloud services, so many different remote storages.
It's not possible with WinSCP. And do not even know if Azure has such API that you might call from remote (your local) machine that would make it download a file from another remote FTP server.
The scenario is we have an FTP server (not local) that has X number of files on it. We'd like to use WinSCP to pull from that FTP server a file and then push it to AZURE storage without running WinSCP within Azure.
Currently we'd have WinSCP running on prem and connecting to the FTP server to grab a file and saving that file to a local/on-prem share. What we'd like to do is to instead of saving the file locally to push it to Azure storage. Is that possible with WinSCP? I found an article discussing something similar but it seemed to be where WinSCP is running within a Windows Instance on Azure. We simply want to change the destination of the file we are getting using WinSCP from on--prem to Azure storage. Is that possible with WinSCP?
FYI.. I am a data/dev guy and not a sysadmin so I may be asking some dumb questions or not providing needed information to answer the question.