If you don't include the scheme, then Hive is going to look on the local filesystem (you can see the code around line 768 of the source)
when you included the URI, make sure you use the full form:
ADD JAR wasb:///lib/json-serde-1.1.9.2.jar
If that still doesn't work, provide your updated command as well as some details about how you are launching the code. Are you RDP'd in to the cluster running via the Hive shell, or running remote via PowerShell or some other API?