In the following section: Azure SQL Database connection policy, there are some network/firewall changes you need to make on the outbound firewall:
If your connection policy is set to Proxy, all network packets flow via the Azure SQL Database gateway. For this setting, clients need to allow outbound communication from the client to Azure SQL Database gateway IP addresses on port 1433.
Suggest you reading the MS blog Using a TCP proxy to connect to SQL Database over VPN.
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