Hi Marcin,
Your app service plan needs to be on Basic B1 SKU or higher to use hybrid connections.
If you have an existing web app please navigate to it in the portal and click on Settings -- Scale up (App Service plan) blade, select Basic B1 (or higher), then click Select button. Give it a minute or so for the change to take effect, and then click on the Settings -- Networking blade -- Hybrid connections and Add a connection.
Please click Accept Answer and upvote if the above was helpful.
Thanks.
-TP