You can create an Office 365 backup set on the SharePoint Server.
From the navigation pane, go to Protect > Applications > Office 365.
The Office 365 apps page appears.
Click a SharePoint server.
The selected SharePoint server page appears.
Click Add Office 365 content.
The Create Office 365 content dialog box appears.
In the Backup set name box, type a name for the backup set.
Type the tenant admin site URL.
In the User name and Password boxes, type the credentials for the server.
Type the Azure user account name and the account key.
From the Plan list, select a plan.
Important: Commvault software supports Microsoft Azure for public clouds only. Sovereign clouds, such as in Germany or China, are not supported. For more information, go to Azure Regions Decision Guide in the Microsoft documentation website.