If Key Vault is being used as a backend target (part of your backend pool), specify the <yourvault>.privatelink.vaultcore.azure.net address as the fqdn for the backend target. Within your corresponding backend HTTP Setting, configure Override with new host name with the value of yes and check Override with specific domain name for Host name override. For the hostname to override, use the FQDN provided by keyvault (i.e. <yourvault>.vault.azure.net).
If Key Vault is being referenced via private endpoint for a listener, you must associate the private dns zone to the virtual network. I will work on clarifying these items via our docs.
Hope this helps!
Jack