Is there a way to download files from Azure Cloud Shell?

When you use Azure Cloud Shell, you need to create an Azure File Share or use the existed. Cloud shell will mount File Share to the system. And the mount path you can use command mount to take a look. The result will like this:

As I suggest, you can copy the .config file to the path like this: /home/RG/clouddrive/.cloudconsole, then you can download the file from File Share.

For more details, you can take a look at another case here.

At the cloud shell prompt just type: download yourfilename