Hello Pedro,

We already have a knowledgebase article demonstrating how you can export the data of a Grid containing images to excel:

Export images in grid

You would have to extend the example to add the logic for fetching data from the Azure Cloud storage. To include the images in the exported document, the drawings option should be configured to include the loaded images and additional settings for their position. For more information on how Excel documents works, refer to the documentation on working with Excel files. Here is a dojo example, for your convenience. The approach for the Telerik UI for ASP.NET Core Grid would be the same. 

Regards,
Aleksandar
Progress Telerik