Hello Steven O,
Thanks for your question.
By default, 2 Separate Virtual Networks cannot communicate with each other.
Since you want to ping the SonicWall LAN IP from the Windows VM. VNet peering is the most straightforward approach. You don't need a public IP address for the Windows VM as long as communication stays within the peered virtual networks.
However, yes it can be done if you dont want to use peering or route tables. You can leverage alternatively VPN Gateway.
See the documentation here if you want to implement: https://learn.microsoft.com/en-us/azure/vpn-gateway/vpn-gateway-howto-vnet-vnet-resource-manager-portal
Please let me know if you have further questions
You can mark it 'Accept Answer' if this helped.