I found the answer:
https://learn.microsoft.com/en-us/azure/data-factory/data-factory-private-link
The sub-resource should be: portal
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I am trying to run a Azure Data Factory and trying to set-up Self-Hoster Integrated Runtime in an on-prem machine.
This is a corporate environment and the way it is set is thru a Bastion-Conexus set-up where I need to request approval for both in-out traffic on-prem/Azure.
So, I am Creating Private Endpoint Request to go from on-prem (Private Network) to Azure, I cannot find is the Subresources type (https://learn.microsoft.com/en-us/azure/private-link/private-endpoint-overview#:~:text=Azure%20Private%20Endpoint%20is%20a,the%20service%20into%20your%20VNet.)
for Azure Data Factory.

I found the answer:
https://learn.microsoft.com/en-us/azure/data-factory/data-factory-private-link
The sub-resource should be: portal