Azure Sql Server VPN connection
I've solved with a Preview Solution and connected from the inside virtual network to Sql Server on port 1433. 

https://docs.microsoft.com/en-us/azure/sql-database/sql-database-private-endpoint-overview

Next step: Certification Management of the VPN'S client. 

Other Solution in Preview also....

https://docs.microsoft.com/en-us/azure/vpn-gateway/openvpn-azure-ad-client