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I noticed that the effective route using the Azure troubleshooting tools: https://docs.microsoft.com/en-us/azure/virtual-network/diagnose-network-routing-problem points the default route to the internet. What is the easiest way to route 0.0.0.0/0 traffic back on premise through a VPN so it will then go through an on-premise FW/Web Proxy and then out on the internet. The LGW won't let me add that default route back on prem and I'm trying to avoid installing an NVA to route this traffic.

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We worked with MCS and this is the solution: https://docs.microsoft.com/en-us/powershell/module/az.network/set-azvirtualnetworkgatewaydefaultsite?view=azps-2.4.0

The Set-AzVirtualNetworkGatewayDefaultSite is not exposed in the Azure portal and allows you to force tunneling traffic back to your VPN.

Using the above command along with creating an UDR that points 0.0.0.0/0 traffic to the virtual gateway seems to do the trick.

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You need to advertise 0.0.0.0/0 via BGP to Azure VPN gateway to achieve Force Tunneling.

You can follow this document to achieve what you asked for.

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