@Khushboo Kumari Thanks for posting in our Q&A.
Based on my research, I found that someone has this similar issue and he said it was the blocked internet connection on his vNET. Please refer to the following link:
https://www.reddit.com/r/windows365/comments/p70ht3/onpremises_network_connection_creation_issues/
Note: Non-Microsoft link, just for the reference.
Hope it will give you some ideas.
If the answer is the right solution, please click "Accept Answer" and kindly upvote it. If you have extra questions about this answer, please click "Comment".
Note: Please follow the steps in our documentation to enable e-mail notifications if you want to receive the related email notification for this thread.