It could be route issue or NSG/Firewall blocking. What is the VPN type you deployed ? is it basic or ?
Ensure the windows firewall and NSG is not blocking any traffic flows. Use the IP flow verify option to ensure traffic flow. This will give baseline understanding about the traffic.
https://learn.microsoft.com/en-us/azure/network-watcher/network-watcher-ip-flow-verify-overview
Also can you please provide traceroute and route table output from your on-prem machine where you trying to connect to azure. Trace route to Azure VM.