Microsoft does not support MFA server for new deployments, but if you have an existing MFA server and your users exist on premises you can enforce MFA conditionally via Remote Desktop Gateway. Note, however, that the server still needs to reach out to Azure for the MFA portion, but your users can be entirely on premises. You just need to have the correct number of licenses for your on-premises users.
For new deployments it is recommended to use NPS extension and Azure MFA for on-premises applications.
https://learn.microsoft.com/en-us/azure/active-directory/authentication/howto-mfaserver-nps-rdg