Thank you for reaching out.Based on my understanding of your question above you are moving your on-prem set-up to Azure where for TCP connections and you wish to add VPN connection between your application and the third party vendors.
If my understanding above is correct, then I think Azure VPN Site-to-Site will be suitable for your needs. You can use it in a combination with Azure Firewall to apply necessary rules as described here
For Azure VPN Gateway here is list of validated devices and a list of IPsec/IKE parameters for VPN gateways. Your third-party vendors should have one of the devices listed in the document above in-order to establish Site-2-site VPN using Azure VPN gateway.
Depending on your requirement for scalability, I think exploring Azure WAN will be helpful. The Virtual WAN architecture is a hub and spoke architecture with scale and performance built in for branches. You can also deploy a secured WAN hub for applying necessary firewall rules.
If Azure VPN Gateway does not satisfy your requirements You can also explore the Community-suggested third-party VPN as suggested in the article here.
Hope this helps! Please let me know if you have any additional questions. Thank you!
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