Unfortunately you can't route the standard HTTP connector through the on-prem-data-gateway.
The UserVoice submission came from somebody else a while ago, but I am facing the same issue.
At the moment, I am setting up a LAB environment to test, if can utilize the "HTTP with Azure AD" connector, since it supports on-prem routing, but since the documentation states, that the action will encode the request body with base64, I will most likely hit a wall.