Hi,
You cannot setup multiple Policy based VPNs on a single VPN Policy Based Gateway.
https://video2.skills-academy.com/en-us/azure/vpn-gateway/vpn-gateway-howto-multi-site-to-site-resource-manager-portal#before
Having multiple gateways is also no option.
You could try and setup a new Route Based VPN Gateway and use traffic selectors with your policy based firewalls.
https://video2.skills-academy.com/en-us/azure/vpn-gateway/vpn-gateway-connect-multiple-policybased-rm-ps
It's not ideal but you could give it a shot.