Hello dotnet_guy
Unfortunately, static web apps do not support the vNet integration feature, so all traffic from your static web app is going via the internet.
Private endpoints are for inbound traffic to the static web app, so by enabling private endpoints, you allow resources on your vNet to be able to talk to your static web app; this does not allow for the opposite, for your static web app to talk to resources on the vNet.
This explains why I suggested using a selected virtual network on the key vault, which would allow you to specify IP ranges that need to securely connect to the Azure Key Vault.
You can mark it 'Accept Answer' and 'Upvote' if this helped you.
Regards,
Obinna.