You would normally use Meraki's cloud archive system. This doesn't use your cloud. So it would not go into your Azure tenancy.
By using the Meraki system you get deep integration with the Meraki dashboard.
If they really want to store it in their own tenancy they would have to use RTSP. They would have to deploy their own RTSP receiver, figure out how to get that plumbed into Azure, and then figure out what they are going to use to process the video, watch it with, search with, etc.
Really painfull.