You're using the FSDirectory there, which is going to write files to the local disk.
You're passing it a list of containers in blob storage. Blob storage is a service made available over a REST API, and is not addressable directly from the file system. Therefore the FSDirectory is not going to be able to write your index to storage.
Your options are :
- Mount a VHD disk on the machine, and store the VHD in blob storage. There are some instructions on how to do this here: http://blogs.msdn.com/b/avkashchauhan/archive/2011/04/15/mount-a-page-blob-vhd-in-any-windows-azure-vm-outside-any-web-worker-or-vm-role.aspx
- Use the Azure Directory, which you refer to in your question. I have rebuilt the AzureDirectory against the latest storage SDK: https://github.com/richorama/AzureDirectory