@v-girip Just checking in to see if the above answer helped. If this answers your question, please don’t forget to "Accept the answer" and Up-Vote. This could be beneficial to other community members reading this thread. If you do have further questions or issues please let us know.
Adding additional info to @deherman-MSFT answer: While connecting from on-prem, sometimes ISPs block port 445.Azure VPN Gateway connects your on-premises networks to Azure through Point-to-Site VPNs in a similar way that you set up and connect to a remote branch office. The connectivity is secure and uses the industry-standard protocols KIEv2.
For more information, refer to this GitHub article: https://github.com/Azure-Samples/azure-files-samples/tree/master/point-to-site-vpn-azure-files
Prerequisite: You can also check the OS Versions support accessing file share in different environment. Windows, Linux and macOS
Can you mount that drive from a VM in Azure, just to make sure it's not a problem with the file share? In fact, I'd try it from a VM in a different region if you can, which will confirm that SMB 3.0 is working correctly.
Troubleshooter for Azure Files storage problems
Kindly let us know if the above helps or you need further assistance on this issue.
If there is any issue can you share the screen shot of the error message