@Anam Ahmed, Thanks for posting in Q&A. Based on my researching, I only find the app can get from apple store. Not find the DMG or PKG to download directly. You can try to contact Azure VPN support to see if they can provide the DMG or PKG file to you.
https://learn.microsoft.com/en-us/azure/vpn-gateway/openvpn-azure-ad-client-mac
Meanwhile, if you have Apple Business Manager, you can purchase the app there and deploy it via VPP in Intune.
https://learn.microsoft.com/en-us/mem/intune/apps/vpp-apps-ios
Hope the above information can help.
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