Yes. A scale set can define the configuration of an attached data disk that applies to all VMs in the set. For more information, see Azure scale sets and attached data disks. Other options for storing data include:
Azure Managed Disks (Premium v2, Premium, Standard, Ultra)
Azure Files (SMB or NFS shared drives)
Azure Netapp Files
Azure shared disks
Operating system drive
Temp drive (local, not backed by Azure Storage)
Azure data service (for example, Azure Table Storage or Azure Blob Storage)
External data service (for example, a remote database)