If your on-premises network, has access to Azure - you can configure a IPSec tunnel to Azure.
It doesn't need a VM but it does need a Gateway, Virtual Network etc and of course line of site to a domain controller.
[https://learn.microsoft.com/en-us/azure/vpn-gateway/tutorial-site-to-site-portal
Can the vendor, not leverage AAD directly, without relying on AD - [https://learn.microsoft.com/en-us/azure/active-directory/manage-apps/what-is-single-sign-on?