VMware Fusion: Command + Tab window switching not focusing *inside* virtual machine
While I work from a Windows host to a Linux VM, I found the same issue.

The solution that VMWare offers is the key Ctrl + G.
On a Mac I'm assuming that would be Option + G.

Once my VMWare window has focus, pressing Ctrl + G will allow me to start using keyboard commands in the VM.

Your procedure would become pressing Command + Tab, then Option + G

Source:
https://www.howtogeek.com/howto/vmware/keyboard-shortcuts-for-vmware-workstation/

Hope it helps!