This post explains an issue that occurred to me when trying to establish connections to Citrix VDAs (Server 2016) in Azure. Within our environment we have a VPN tunnel to connect our primary datacenter to our Azure tenant. The VPN tunnel is a very important piece to this puzzle.
Once the VDA is built, they are registering to the Delivery Controllers and apps/desktops are published you are attempt to establish a connection via published app or desktop the client has issues keeping the connection. Specifically once the application/desktop is launched, Citrix receiver/workspace launches and tries to establish a connection and gets stuck at "Connection in progress...."
Reviewing network trace logs through firewalls and wireshark you will notice TCP Resets on the client side.
The easiest option here is to disable Enlightened Data Transport aka HDX Adaptive Transport within the Citrix Studio policies for the delivery group(s) that are hosted on Azure.
This article details it best but the primary reason is because of IP fragmentation isn't handled correctly over the VPN tunnel. Disabling EDT addresses this issue.
As of right now I don't have a way to get this to work correctly if you want EDT turned on.
SageLike Post ID: SL0021
Citrix VDA's hosted within Azure that has a VPN tunnel connecting Azure to the on-premise infrastructure.