Hi, Abo
The issue is with DNS resolution - you would have to change your 'azurevpnconfig.xml' to have a DNS block, with the IP of your domain controller.
You may run into issues, as the P2S VPN doesn't connect automatically - and before the user is logged in, so although you could join the domain, you won't be able to log in as a user - you would need to connect with your local user, then connect to the P2S VPN, then do a switch user, and try to login with a domain user, while the P2S VPN is connected on the other user - to cache the domain user profile to your machine. If you want to do this - you may be better off with a Site to site VPN.
If you have a hybrid setup - you can login to a AAD machine, and access AD services - as long as you have line of sight to a domain controller.
ie
<clientconfig>
<dnsservers>
<dnsserver>10.0.18.4</dnsserver>
</dnsservers>
</clientconfig>