Hi @Nandakumar Balasubramanian
Thank you for reaching out to Microsoft Q&A Platform .
I did go through your setup and you will need to create a virtual switch with in your HyperV machine and configure the same with in your VM's
Please refer :
https://learn.microsoft.com/en-us/azure/lab-services/how-to-enable-nested-virtualization-template-vm
And
https://techcommunity.microsoft.com/t5/itops-talk-blog/how-to-setup-nested-virtualization-for-azure-vm-vhd/ba-p/1115338#:~:text=%20How%20to%20Setup%20Nested%20Virtualization%20for%20Azure,administrator%20and%20run%20command%20below%20to...%20More%20
Hope this helps .
Thanks & Regards,
Pradeep