Hello @Alvaro Amaya
Thanks for reaching out to Microsoft Q and A platform.
Here are the few suggestions you could check in troubleshooting this issue.
· By the description assuming there is a Tunnel created from Azure to on premise Servers, and Internet traffic exit from the on-premises.
· First check could be to understand what the “Internet” traffic flow from the VM is, and what are the hops involved.
· Please use tools like Next Hop and Connection Monitor from “Network Watcher” which would give more insight on which hop the issue is:
· Document: Tutorial: Diagnose a VM network routing problem - Azure portal - Azure Network Watcher | Microsoft Learn
· On the Virtual Machine, please do perform “nslookup” on the source VM, if the URL is resolvable, then issue is not with the DNS. If so then changing the DNS server will not fix the issue.
· If in above tests and find you see that the internet traffic is not locked within Azure and if its been sent to the on-premise, then concentration of troubleshooting must be with the devices in On-premise.
· For further detailed analysis to track the Packets, you could take the “network packet capture” at all the hops, while establishing TCP traffic towards internet IP.