When exporting data from Data Warehouse to Azure Blob Storage, you can now connect to Azure using the Shared Access Signature (SAS) option. This is in addition to the Connection String option, which still exists.
SAS provides more granular control for accessing different storage objects in the Blob storage account.
How it Works
In Step 3 of configuring the Data Warehouse storage options, select your preferred method to connect with Azure Blob. If you select the SAS option, you must enter your Shared Access Signature from Azure.
See Data Warehouse Export for more details.