Is Azure OpenAI requests are routed via cursor servers?

While using the Azure Open AI, I’m encountering this error:
{“error”:{“code”:“403”,“message”: “Access denied due to Virtual Network/Firewall rules.”}}

This is because the Azure instance is behind VPN.
But I’m unable to understand is why I’m getting this error? Given my computer is on correct VPN network and if I use python code to query it works.

This makes me wonder if cursor are routing all the queries to their server and making the call on our behalf.

What is the solution here?