There is no direct way to do this. You can go through the azure storage python SDK blockblobservice.py and baseblobservice.py for details.

As you mentioned, you should loop over it. The sample code as below:

from azure.storage.blob import BlockBlobService, PublicAccess
import os

def run_sample():
    block_blob_service = BlockBlobService(account_name='your_account', account_key='your_key')
    container_name ='t1s'

    local_path = "D:\\Test\\test"

    for files in os.listdir(local_path):
        block_blob_service.create_blob_from_path(container_name,files,os.path.join(local_path,files))


# Main method.
if __name__ == '__main__':
    run_sample()

The files in local:

After code execution, they are uploaded to azure: