I'm going to preface my answer by indicating I tried this out a few years ago during a demo of Azure's initial IaaS offerings so things have almost certainly changed.
Yes, you can provision multiple disks and create a spanned volume but I'd also check the segment size of the LUNs. If you're looking for high throughput to scan in tables like for building ...
I read your requirements as (in order)
Store lots of records cheaply
Execute queries infrequently, insensitively to performance.
On AWS the cheapest bulk storage is S3. Other providers may be cheaper per GB (e.g. Backblaze) but you have to balance the stirage / egress costs. We'll get back to the format in a moment.
Now you need a way to read that data ...