@Menon, Pradeep Thank you for reaching out to Microsoft Q&A.
I understand that you want to use Application Security Groups with On-premise resources. However, this is not possible to do. You cannot associate ASG's with on-premise resources and can only be associated to the VMs in the Vnet in Azure. Hope this helps!
Please let us know if you have any further questions and we will be glad to assist you further. Thank you!
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