Hello there,
Are you using Azure firewall or any firewall rules?
If so you can start checking from there.
Try this put WVD on its own subnet and create a NAT gateway so that all session hosts share the same public IP.
Once all session hosts are set to use the NAT gateway and share the same public IP, use a third party residential proxy service to route interesting traffic.
Similar discussion here
Hope this resolves your Query !!
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