Microsoft has recently released an Azure Resource Manager (ARM) template to create a domain-joined scale-out file server (SOFS) in Azure using Storage Spaces Direct (S2D) with Windows Server 2016. You can use this template to create a Storage Spaces Direct scale-out file server to store User Profile Disks (UPD)!
”…Remote Desktop Services (RDS) requires a domain-joined file server for user profile disks (UPDs). To deploy a high availability domain-joined scale-out file server (SOFS) in Azure, use Storage Spaces Direct (S2D) with Windows Server 2016…”
Check out this link for guidance on how to set up the Storage Spaces Direct scale-out file server and how to configure UPD on it!