Hello @Andrew , Thank you for reaching out.
If I understand correctly, you have an Azure AD joined Windows devices that are used at different points in Internet and you want to set-up seamless (when a user logs-in) VPN connection from these devices to your Virtual Machines hosted on Azure.
I think you can explore the option of using the Always On feature of Azure VPN client. With Always On, the active VPN profile can connect automatically and remain connected based on triggers, such as user sign-in, network state change, or device screen active. You can set-up a user tunnel which connects only after users sign-in to the device.
Hope this helps! Please let me know if this solution does not work for you. We will gladly continue with our discussion. Thank you!