From what I can tell this is currently not supported in Azure SQL Reporting. I tried it in a sample report and I couldn't get it to work even if I use Azure Blob storage. You can upload the image to the reporting server as an alternative but external linking is still not implemented. I would vote here:
This was similar to the Azure CORS problem that is finally going to be fixed soon. The nice thing is when they finally fix it you will get notified if you vote on it.