IoT Central uses the Azure IoT Hub Device Provisioning service (DPS) to manage the connection process. A device first connects to a DPS endpoint to retrieve the information it needs to connect to your application. Internally, your IoT Central application uses an IoT hub to handle device connectivity.
The MQTT device can be connected directly to the IoT Central App based on its device connection string which is necessary to generate in advance.
This link shows an example how to generate a necessary data for device connectivity to the IoT Central App, such as generating a hostname of the internal IoT Hub and the device sasToken.
@Roman Kiss provided detailed steps which shows an example of the MQTT device connectivity using the MQTTBox client here. Please check and let us know if you still need further help.
Also, have a look at the reference from Stack Overflow Connect real device to Azure IoT Central using MQTT and see if it helps.
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