How can I enable external access via RDP in this scenario?

Question

I am responsible for creating and configuring an RDS environment for my company. It contains an RDG (gateway) and the RDS (Service application). This environment is on-premises.

It was decided to add the HTML 5 interface to enable opening applications via the web (online).

For security reasons, we decided to add MFA via an Azure application proxy, so that MFA is requested whenever the user enters the root URL, e.g., rds.mydomain.com.

I have a legacy application that requires connecting via RDP to use it, and the HTML5 interface allows for both RDP and web (browser) connections. It works (establishes the connection) whenever the request comes from within the network; however, it does not work when coming from outside (external).

In summary: I can only access my applications via RDP when the request comes from within the network; however, it does not work when coming from outside (external).

I have already done many tests: reviewed RDG policies, Azure access policies, my security team informed me that there is no blocking on our firewall, searched for error logs on the RDG and RDS servers, on the client, on Azure, and there is no error code for the connection failure.