On HDFS Hive ORC ACID for Hive MERGE no issue.
On S3 not possible.
For Azure HD Insight I am not clear from docs if such a table on Azure Blob Storage is posible? Seeking confirmation or otherwise.
I am pretty sure no go. See the update I gave on the answer, however.
According to Azure HDInsight offical documents Azure HDInsight 4.0 overview
as the figure below,
As I known, Hive MERGE requires MapReduce, but HDInsight does not support it for Hive, so it's also not possible.
UPDATE by question poster
HDInsight 4.0 doesn't support MapReduce for Apache Hive. Use Apache Tez instead. So, with Tez it will still work and from https://learn.microsoft.com/en-us/azure/hdinsight/hdinsight-version-release Spark with Hive 3 and Warehouse Connector are also options.