Hello @RaziEngg
Welcome to Microsoft Q&A Platform.
Did you check if you can connect via RDP from a jumpbox VM instead bastion?
Are you using the default RDP port (3389) or has it been changed?
Did you confirm that RDP traffic allowed via NSG?
Please check the threads below as they are related to the same issue:
https://github.com/MicrosoftDocs/azure-docs/issues/33632
https://video2.skills-academy.com/en-us/answers/questions/36226/azure-bastion-fails-to-connect-over-rdp-black-scre.html
Bastion NSG settings:
https://video2.skills-academy.com/en-us/azure/bastion/bastion-nsg
I hope this helps!
----------
Please don’t forget to "Accept the answer" and “up-vote” wherever the information provided helps you, this can be beneficial to other community members.