If you would like to export your Salesforce data to your own Azure instance, you should either use the Export or Replication package.
Export package allows to export your Salesforce data to CSV files directly to Azure File Storage:
Replication package allows to copy all your Salesforce data to SQL Azure database or Azure SQL Data Warehouse and keep it up-to-date:
Skyvia Backup allows you to create snapshots of your Salesforce data and store them in our Microsoft Azure GRS Storage. We host our service in Microsoft Azure (West US California data centers). And we do not have access to this data. Please refer to https://docs.skyvia.com/backup/backup-security.html
If you encounter any issues with this or have any further questions, feel free to contact us. We will be glad to answer all your further questions.