Hey DJITS,
So my understanding of your setup is this:
1- You have a VNet that is the Azure Virtual Desktop VNet, with an Expressroute connection back to on-premises (Internal network).
2- You have a UDR on that VNet with a default route 0.0.0.0 next-hop Internet.
3- For one specific destination on the Internet you need traffic to be sent toward your On-Premises instead of directly toward the Internet, right?
Could you try to create a UDR on the VNet with a next-hop of an IP address of your Internal Router/Firewall that is connected to the Internet, and since your VNet learned this route through the ExpressRoute BGP, it would use the ExpressRoute back to your On-premises.
Let me know how it goes.
All the best, and Stay strong!
Cheers,
Ahmed Muhi