Thank you for getting back and letting us know that the issue was resolved when the Azure region was changed to North EU.
There is a known issue with VPN gateway deployments in "West-Europe" region. And the current workaround is to create your VPN gateway in another region. If it is not possible for you to move the resources, you can follow this tutorial here to Configure VPN gateway transit for virtual network peering.
If the above work-around does not work for you it will be helpful if you could create a support request for this issue as a support engineer can through your set-up in detail and provide a more optimized solution. Please let me know if you need any help in filling the support request.
Thank you!
Chaitanya