
Explanation

Create a new Azure Data Lake Storage account with Azure Data Lake managed encryption keys For Azure services, Azure Key Vault is the recommended key storage solution and provides a common management experience across services. Keys are stored and managed in key vaults, and access to a key vault can be given to users or services. Azure Key Vault supports customer creation of keys or import of customer keys for use in customer-managed encryption key scenarios.
Note: Data Lake Storage Gen1 account Encryption Settings. There are three options:
Do not enable encryption.
Use keys managed by Data Lake Storage Gen1, if you want Data Lake Storage Gen1 to manage your encryption keys.
Use keys from your own Key Vault. You can select an existing Azure Key Vault or create a new Key Vault. To use the keys from a Key Vault, you must assign permissions for the Data Lake Storage Gen1 account to access the Azure Key Vault.
References:
https://docs.microsoft.com/en-us/azure/security/fundamentals/encryption-atrest