Moving a DocumentDB Collection to Azure Data Lake Storage
You currently cannot use U-SQL to access data in DocumentDB (or now called CosmosDB). There is a feature request here. Please feel free to add your vote.
If you move the data over, the organization depends on how you want to manage the data (delete all, or only parts?), how it is structured (keep similar structured data together, either in same file or same folder) and how you use it (always need all of it? or only parts?) and what gives you the best performance accessing it (larger files are normally better, but if they are JSON, also make sure the extraction process works).
You can use Azure Data Factory to connect to Document DB and store your data on Data Lake.After that you can query the data directly from Data Lake using U-SQL.