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 use a different third party app to connect to Azure P2S VPN.
With AAD Authentication, we can only use Azure VPN Client.
Refer : How are P2S VPN clients authenticated?
The one you are referring is for MFA, not for connecting to Azure VPN Gateway.
Hope this helps.
Thanks,
Kapil
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