Hello @Roopesh Bharatwaj K R ,
There are multiple things that I will need to cover to give you a good understanding on what is happening.
First, we will need to talk about some of the Operating System and User Interface differences between Windows and Linux.
Windows comes with a GUI (Graphical User Interface) that uses a keyboard and mouse to navigate. There are versions of Windows like Windows Server Core that do not contain a GUI. You use RDP (Remote Desktop Protocol) to access the GUI of a remote computer.
Linux comes with a Command Line interface, which is a text input window. This is exactly what you are seeing when you SSH into your Linux VM, as your screenshot shows. It allows you to input commands and install programs, but you must know the text commands to do so.
Next, Lets talk about connecting to your Linux VM without needing Azure Bastion. You can connect to Linux VMs using SSH (Secure Shell), most people use PuTTY to SSH from their Windows machines. You will need to download , install, and open PuTTY. You input the Server's IP, and that will bring you to a command window where you can enter your username and password. If you use SSH keys, let me know and I can give you those instructions as well .
Most linux VMs do not have a GUI by default. Many distributions do have the ability to install one, but you will first need to SSH and install a desktop client, then you will be able to use Linux with a GUI. Here is a fantastic doc that describes how to use xrdp with Ubuntu.
Please let me know if you have any other questions.