Hi Ines,
Welcome to Q&A Forum; this is a great place to get support, answers, and tips.
Thank you for posting your question; I'll be more than glad to help you out.
There are at least two options...
1.) If you want/need to use your on-premise device, create an automation (e.g., PowerShell script) that connects to your client, grabs the data, and moves it directly into the cloud onto a blob storage or directly into your data lake.
2.) Maybe you already have, or you need to deploy a small virtual machine that uses that VPN client, connects to your client, and runs your script (that grabs your data and moves it into a blob or data lake)
So, depending on your knowledge and options within your Azure environment, you should ideally move the VPN connections into Azure and initiate the connection from there.
The best option might be a Site-2-Site connection between your client and your Azure environment, but that could be complicated if your client doesn't want to/know howto...
I hope my answer is helpful to you,
Your
Bjoern Peters
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