Hi,
To my knowledge this is not possible without some custom logging. Application gateway has a x-appgw-trace-id
header which is attached to every request and is logged in the diagnostic settings output (assuming you have this setup). You could then log this header when your application receives a request and join on this when querying.
When looking at application logs you will find a parent operation Id property and a operation Id property these are normally what are used to correlate between logs within an app. However I do not think that the parent Id of a request is automatically set to the trace headers sent by application gateway or AFD etc. I have not tested this though so it might be worth double checking this before setting up logging the x-appgw-trace-id
header against requests to your app service.
Hope this helps.