Connect to SQL Server hosted in Azure VM from Power BI - powerbi

I am trying to connect from my Power BI desktop to a SQL Server hosted in Azure VM.
I have a gateway in a place where the Power BI Desktop is installed and I am able to connect to the local SQL Server, but cannot connect to the SQL Server hosted in Azure VM.
Do I need to provide a remote connection to SQL Server?
Are there any other settings needed?

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I have a MySQL database that will connect with power BI web, but to access the database we need to connect to a VPN first.
How can I configure power BI web to connect to the VPN and then to the database?
Do you have any solution so that we can free external bank access without power BI web VPN, such as a fixed power bi web ip?
You can't make use of this VPN in Power BI Service. To make it possible to access your database from there, you need to install and configure Power BI Gateway on the database server. It will allow connection to your on-premises data sources from Power BI, Power Apps and similar cloud services.

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By using the server as localhost like below
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Before publishing, I've changed the Server to the Cloud Connector's IP instead of localhost.

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org.springframework.jdbc.CannotGetJdbcConnectionException: Failed to obtain JDBC Connection; nested exception is java.sql.SQLRecoverableException: IO Error: The Network Adapter could not establish the connection
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Independent azure Web job is not able to connect to SQL Server hosted in an Azure VM

Independent Azure Web job is not able to connect to SQL Server hosted in an Azure VM.
But we are able to connect to the same SQL SERVER from our local computers.
Error details :
The underlying provider failed on Open.
The job failed with exception :
A network-related or instance-specific error occurred while establishing a connection to SQL Server. The server was not found or was not accessible. Verify that the instance name is correct and that SQL Server is configured to allow remote connections. (provider: TCP Provider, error: 0 - No such host is known.)
Is the webjob able to connect to the SQL DB hosted in Azure VM now? Also, is the Azure VM hosted in west Europe? If yes, you might have received a message on the Azure portal and Service Health Dashboard (banner).

PowerApps embedded in Power Bi Desktop communication to Local SQL Server without on Premises

I have created a Power app in the Power apps portal. This power app communicates to one of my databases via an on-premises gateway. On a button click on the power app embedded in the Power BI Desktop, few selected data is passed as a parameter to a procedure which runs in my database.
I am using this power app embedded in my Power BI Desktop template.
Power BI Desktop -> Power Apps -> DB (via on Premises Gateway)
Power app works only with the internet.
Is it possible to make power app communicate to my local database without any network connections? (without on-premises or cloud databases)
If no, then is it possible to redirect the power app communication to the appropriate db gateway by passing the parameter(gateway name) from Power BI Desktop from which the request originated?
Thanks in advance
Unfortunately, PowerApps doesn't work offline today. It won't be able to talk to your local database without network connection.
You can direct PowerApps to talk to the appropriate data gateway. Make sure you install the gateway from PowerApps portal first. Then create a connection using that gateway to your local database. Then use that connection in your PowerApps to talk to your database (read/write to your local database).
Hope this helps!