Bulk insert XML from Azure data lake storage to Managed instance

Question

I have a SSIS package, where one step does "Execute SQL task" where a insert statement like below is used.

INSERT INTO [Xmltable] (xmlFileName, xml_data) 
    SELECT ? xmlFileName, CONVERT(XML, BulkColumn) AS xml_data
    FROM OPENROWSET(BULK '\\xxxxx.file.core.windows.net\xxxx\xxx\xxx.xml', SINGLE_BLOB) AS x;

But I get this error when I execute the package:

[Execute SQL Task] Error: Executing the query "INSERT INTO [Xmltable] (xmlFileName, xml_data) SE..." failed with the following error:
Cannot bulk load because the file "\xxxxx.file.core.windows.net\xxxx\xxx\xxx.xml" could not be opened. Operating system error code 3(The system cannot find the path specified.).".
Possible failure reasons: Problems with the query, "ResultSet" property not set correctly, parameters not set correctly, or connection not established correctly.

Please help me on this.