Configure a point-to-site connection to Azure SQL Managed Instance from on-premises
Azure SQL Managed Instance using SQL Server Management Studio (SSMS) from an on-premises client computer over a point-to-site connection.
On the on-premises client computer, open SQL Server Management Studio.
SQL Database creates a firewall at the server level for single and pooled databases. This firewall prevents client applications from connecting to the server or any of its databases unless you create an IP firewall rule to open the firewall. For a connection from an IP address outside Azure, create a firewall rule for a specific IP address or range of addresses that you want to be able to connect from.
https://learn.microsoft.com/en-us/azure/azure-sql/database/firewall-create-server-level-portal-quickstart
Azure SQL database is public over the Internet, however, the traffic through a VPN connection from your on-premise network is private so it does not support to access Azure SQL database over VPN.
refer- https://stackoverflow.com/questions/57376952/connect-to-azure-sql-over-vpn
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