Welcome to the Microsoft Q&A Platform. Thank you for reaching out & I hope you are doing well.
I understand that you would like to know if we can integrate Sophos XG firewall in Azure vWAN.
Please let me know if my understanding is correct.
The below list provides a list of Partners we support (for deploying the NVA directly into the vHub)
I am afraid I do not see a Sophos XG firewall here in the list.
However, you can also a deploy a NVA in a VNet (not vHub) and configure routing to direct traffic to the NVA.
I hope this helps.
Feel free to let me know should you require further assistance.
Cheers,
Kapil