2 Answers
Hi Martyn,
Good questions. The CloudShell needs somewhere to store metadata and any files you upload to it. It needs and Azure storage account in order to store files, session state and preferences in your $Home directory.
I hope this helps.
Lars
Cloud Shell utilizes Azure File storage to persist files across sessions.
https://docs.microsoft.com/en-us/azure/cloud-shell/persisting-shell-storage