@Belan Marek Thank you for reaching out to us, to investigate this issue, would like to start with radius/nps configuration related information would like to know what kind of radius authentication methods is configured in the policy.
Authentication methods:
PAP supports all the authentication methods of Azure AD Multi-Factor Authentication in the cloud: phone call, one-way text message, mobile app notification, OATH hardware tokens, and mobile app verification code.
CHAPV2 and EAP support phone call and mobile app notification.
Reference: https://learn.microsoft.com/en-us/answers/questions/244757/azure-mfa-with-vpn-using-sms-otp.html
https://learn.microsoft.com/en-us/azure/active-directory/authentication/howto-mfa-nps-extension-vpn
if the above information doesnt help to isolate the issue, we can connect offline to troubleshoot further.