We setup a Point-to-Site azure VPN gateway to allow us to connect to our Virtual Machines and azure SQL instance. The gateway is linked to the Virtual Network where our VM's live, and the Azure SQL has a firewall rule to allow connections from That virtual network. We are able to connect to the VM's but not to the Azure SQL.
I tried linking the Virtual network to the Azure SQL through the firewall settings, it didn't help.
I assume you are using Azure SQL database. It's public and does not deploy in a VNet. Also, VNet Service Endpoints don’t extend to on-premises. So It did not help to connect to Azure SQL database over VPN connection. If you want it to work, you need whitelist your on-premise client public IP address in the firewall of Azure SQL database.
Otherwise, you need to deploy your SQL instance in a VNet, so you need to use Azure SQL Database managed instance. You could follow this quickstart: Configure a point-to-site connection to an Azure SQL Database Managed Instance from on-premises
