If you really, really, really want this, you would need to set up a proxy server on a VM in Azure and use this proxy server for connections to SharePoint, Onedrive and Teams. I really doubt that teams will follow your proxy setup though.
Furthermore, from your proxy server, the traffic will be routed via the internet anyhow.
Of course, as @msrini-MSFT stated, you can use Express route with Microsoft peering (not public peering; public peering is not available anymore for new express routes). See also https://learn.microsoft.com/en-us/azure/expressroute/expressroute-circuit-peerings#microsoftpeering
Keep in mind that Microsoft advises AGAINST this setup (https://learn.microsoft.com/en-us/microsoft-365/enterprise/azure-expressroute?view=o365-worldwide).
We do not recommend ExpressRoute for Microsoft 365 because it does not provide the best connectivity model for the service in most circumstances. As such, Microsoft authorization is required to use this connectivity model for Microsoft 365. We review every customer request and authorize ExpressRoute for Microsoft 365 only in the rare scenarios where it is necessary. Please read the ExpressRoute for Microsoft 365 guide for more information and following a comprehensive review of the document with your productivity, network, and security teams, work with your Microsoft account team to submit an exception if needed. Unauthorized subscriptions trying to create route filters for Office 365 will receive an error message.
Can you elaborate on your use case for wanting to use VPN to access M365?