For creating a custom trainable classifier, seed content must be stored in a Microsoft 365 content location that Purview can crawl for training-SharePoint Online (or Exchange mailboxes). OneDrive, Azure Files, or other locations are not supported for training seed sets.
Reference: Microsoft Learn - Trainable classifiers in Microsoft Purview # seed content is uploaded to SharePoint Online or Exchange Online.
https://learn.microsoft.com/microsoft-365/compliance/classifier-get-started-with