All you did is correct except that you tried to create an External Table from a data source in a Blob Storage and that is not possible. Instead of creating an external table you need to use BULK INSERT or OPENROWSET to get access to file and import it.

The following is an example using BULK/INSERT:

BULK INSERT Product
FROM 'container0/terrcad.txt'
WITH ( DATA_SOURCE = 'AzureStorage');

Using BULK INSERT.

SELECT * FROM OPENROWSET(
   BULK 'inv-2017-01-19.csv',
   DATA_SOURCE = 'AzureStorage',
   FORMAT = 'CSV',
   FORMATFILE='invoices.fmt',
   FORMATFILE_DATA_SOURCE = 'MyAzureInvoices'
   ) AS DataFile;

For more information, please visit this article.

There is a tiny mistake in your code which would make it work: You can only create an external table on a blob storage when you define the TYPE of the DATA SOURCE as HADOOP storage:

-- Aqui vc mostra onde fica a fechadura através da URI
CREATE EXTERNAL DATA SOURCE AzureStorage
WITH (
    TYPE = HADOOP,
    LOCATION = 'wasbs://container0@fsblobstorage.blob.core.windows.net',
    CREDENTIAL = AzureStorageCredential
);

Take a look at this example from Microsoft: Configure PolyBase to access external data in Azure Blob Storage

It looks like that the TYPE BLOB_STORAGE type can only be used for BULK INSERT and OPENROWSET functions.

You don't need to specify the TYPE = BLOB_STORAGE, while creating external table. If you are using OPENROWSET to access the data then you can query the blob storage with type parameter, but while creating external table you can omit the type parameter.

Change your CREATE EXTERNAL DATA SOURCE query syntax to following and use it to create the external table and it should work.

CREATE EXTERNAL DATA SOURCE AzureStorage
WITH (
    LOCATION = 'wasbs://container0@fsblobstorage.blob.core.windows.net',
    CREDENTIAL = AzureStorageCredential
);