Hi,
The data path will be as follows:
On-Prem --> Azure VPN Gateway (West Europe) --> VMs in Norway
Return traffic :
VMs from Norway --> Azure VPN gateway (West Europe) --> On-Prem
I assume that you use VNET peering between VNETs in West Europe and Norway VNET which will definitely adds up latency.
Recommendation is to delete and create a VPN gateway in Norway VNET.