Let's start with a single VM and take a look at the first diagram:
In the preceding diagram, you can see the simplest representation of an Azure VM. An Azure VM consists of an OS disk (which contains the operating system of your VM) and the optional data disks (which serves as a store for the data of your applications). Both disk types are Virtual Hardware Disks (VHD) and thus physical files, which are stored as blob in a storage account of your Azure account. The storage of the disks is persistent.