Azure AD Application Proxy is designed to work with Azure AD and doesn’t fulfill the requirements to act as an AD FS proxy. See FAQ
For your scenario you could use a regular Web Application Proxy server that is open to the Internet on TCP port 443 and proxies traffic to the domain-joined ADFS server. Then you would edit the host file on the WAP server and enter the IP address of your ADFS server and your ADFS domain (i.e. 10.2.0.5 and adfs.mydomain.com), and you would configure a static IP for the WAP server.
Otherwise if you are using the Azure AD Application Proxy with Azure AD and have installed the Proxy Connector in your internal network, you need to allow ports 80 and 443 from the Connector out to the Internet.
https://learn.microsoft.com/en-us/azure/active-directory/manage-apps/migrate-adfs-apps-to-azure