Create a virtual machine scale set without load balancer

The idea with VM scale sets are that they are a load balanced series of identical VMs. Think of an example of a web farm built using VM scale sets, you might have 5 identical VM instances in the web farm (scale set) but you would need to front these with a load balancer in order to direct the traffic to an instance of the VM scale set. The load balancer would be your public endpoint (public IP address) and your load balancer manages the traffic for you by forwarding it to an available instance in your VM scale set.

Otherwise you would be assigning public IP addresses to particular instances of the VM scale set which

Having said that, what you ask is possible although rarely used from my experience.

https://free.blessedness.top/en-us/azure/virtual-machine-scale-sets/virtual-machine-scale-sets-networking#public-ipv4-per-virtual-machine

If you have a zrs disk that is attached to a primary VM in zone one, you can use a scale set without a load balancer for SMB access to Shares on the Disk. SMB isnt supported over Azure Load Balancer, but you can still use a scale set across all three zones and use something like an Azure Function to check health of VM, dismount disk and mount to healthy vm in zonal outage,and then update an A record in a private DNS zone to maintain access to the underlying file share via that DNS A Record - thats one example of not needing (being able to) use a load balancer that removes the need for clustering and works quite well if you get your run book/function scheduled to health probe for the VM the GRS disk is attached to and rotate as needed.