Hello @Kiran Patel ,
Welcome to Microsoft Q&A Platform. Thank you for reaching out & hope you are doing well.
I understand that you would like to know if Azure support GRE tunnels on Azure VMs.
As mentioned in the Azure Virtual Network FAQ,
GRE support is under Azure's long-term roadmap.
This feature is already requested by other customers, which is under review by Microsoft PG teams, but we don't have any ETA as of yet. You can upvote the feature in the below feedback forum:
https://feedback.azure.com/d365community/idea/874be986-8426-ec11-b6e6-000d3a4f0789
Kindly let us know if the above helps or you need further assistance on this issue.
Please "Accept the answer" if the information helped you. This will help us and others in the community as well.