You cannot push internet traffic via an Internet Gateway 🙁
https://learn.microsoft.com/en-us/answers/questions/1341526/azure-vpn-basic-tier-forced-tunneling
Microsoft Method of this is use a Virtual WAN Point to Site VPN which costs around 1000$ / Month
https://learn.microsoft.com/en-us/azure/virtual-wan/virtual-wan-point-to-site-portal
Or cheaper , Route your Traffic via a Network Virtual Appliance like a Fortigate VM or your On Premise Firewall via Site to Site VPN :
Configure Forced Tunneling on Azure | by Yst@IT | Medium
You will also need to create a Policy that allows SSLVPN -> Internet – ENABLE NAT on this
Routing azure vpn gateway to NVA : r/AZURE (reddit.com)
BGP Azure VM route internet traffic via Site-to-Site VPN tunnel : r/AZURE (reddit.com) Routing azure vpn gateway to NVA : r/AZURE (reddit.com)