Below syntax worked for me
az eventgrid event-subscription create --name test-queue --source-resource-id
'/subscriptions/1234-5678-9111-9876/resourceGroups/myresourcegroup/providers/Microsoft.Storage/storageAccounts/teststorage'
--endpoint-type storagequeue --endpoint '/subscriptions/1234-5678-9111-9876/resourceGroups/myresourcegroup/providers/Microsoft.Storage/storageAccounts/teststorage/queueservices/default/queues/test-queue'
--advanced-filter data.api stringin CopyBlob PutBlob PutBlockList FlushWithClose