We have a requirement to set up a linked server connection from our Azure SQL Managed Instance which sits in VNET A to a 'regular' SQL Server installation running on an Azure VM, which sits in VNET B (which is in a different region).
Despite various changes made to NSG's on both sides to allow the necessary connections, it does not work, with a generic connection error shown when attempting to setup the connection in SSMS (despite trying various combinations of settings and connection strings). Weirdly though, I can set up the linked server connection the other way without any issues (i.e. from the Azure VM-based SQL Server TO the Managed Instance), just not the other way around.
Is this even a feasible scenario? And if so, what are the specific steps to get this working?