This community is not only supported by employees; it is supported by hundreds of users like yourself who can provide great answers and perspective to other users. I have no idea if VPN to Azure is supported, so I personally cannot comment on that. If other users did it successfully, I'm sure they would weigh in. Sometimes things that are not supported actually work. In this specific circumstance you have the option of opening a technical support case to see if indeed it is supported or not, for doing the things you want it to do.