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See : Can routes from the on-premises network get filtered?
The only way to filter or include routes is on the on-premises edge router. User-defined routes can be added in the VNet to affect specific routing, but is only static and not part of the BGP advertisement.
You should advertise this route from the OnPrem router to Azure via BGP.
Kindly let us know if this helps or you need further assistance on this issue.
Thanks,
Kapil
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