Hi @Darshan-S ,
to connect to an Azure VM via RDP over a VPN connection and not via Public IP from the internet you can do this this way:
Do not associate an Public IP to the Azure VM or deny the access via RDP to the Azure VM in a Network Security Group (NSG) if an Public IP is required for the Azure VM
Deploy an Azure VPN Gateway and configure Point-To-Site connection for individual users (Configure server settings for P2S VPN Gateway connections). Alternative you can connect from the same Azure VPN Gateway from a company network via Site-To-Site connection (Tutorial: Create a site-to-site VPN connection in the Azure portal).
If the VPN connection is established you should be able to connect via RDP to the private IP of the Azure VM.
(If the reply was helpful please don't forget to upvote and/or accept as answer, thank you)
Regards
Andreas Baumgarten