Hello @Rohit,
OMS gateway is nothing but System Center Operations Manager (SCOM) gateway to Azure. So, install and configure SCOM server and clients your infrastructure and set the OMS gateway in the SCOM console. So, OMS gateway acts as a proxy server towards Azure Log Analytics workspace. Definitely, your OMS gateway should have internet connection established so that gateway can contact Azure cloud services.
Please mark as "Accept the answer" if the above steps helps you. Others with similar issues can also follow the solution as per your suggestion
Regards,
Manu