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The windows 365 Cloud pc has diverse kinds of networks.
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Source: https://learn.microsoft.com/en-us/windows-365/enterprise/architecture
According to your explanation, you require an On-Premises network connection.
This is the documentation to create an Azure Network Connection
Azure network connections (ANC) let you provision Cloud PCs that are attached to a virtual network that you manage.
Hope this helps,
Carlos Solís Salazar
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