You can asynchronously create a new azure storage account using REST API in POSTMAN.
Using ARM template you can create new Windows VM in a new vnet, storage account, nic, and public ip with the new compute stack then install the Visual Studio Team Services build agent.
You can download files and folders from Azure File storage using this PowerShell script. You can use service principal who has access to Key vault and storage account. The storage account secret can be saved in Key vault to be accessed through PowerShell script.
Storage Account RestAPI PUT call can be used to create storage account using Postman