Azure Sql Server VPN connection I saw a couple of questions already submitted 1 or 2 year ago, without a clear answer. I'd like to know if I can connect my private Network, or whatelse to an Azure Sql Server.

Point-to-Site VPN

I'd like to attach a VNET to my Azure Sql Server, Set up a Network Security Group and VPN GATEWAY and connect (with enterprise certificate or self signed) to my DB's directly from Visual Studio or Microsoft Sql Management studio.
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