Hello @Vamshi Kishore KALIKOTA ,
Why do you want to install on-premise data gateway on the Azure Virtual machine?
Connecting to on-premises data sources from an Azure Analysis Services server require an On-premises gateway.
How it works
The gateway you install on a computer in your organization runs as a Windows service, On-premises data gateway. This local service is registered with the Gateway Cloud Service through Azure Service Bus. You then create an On-premises data gateway resource for an Azure subscription. Your Azure Analysis Services servers are then connected to your Azure gateway resource. When models on your server need to connect to your on-premises data sources for queries or processing, a query and data flow traverses the gateway resource, Azure Service Bus, the local on-premises data gateway service, and your data sources.
An on-premises data gateway is required when one or more Azure Analysis Services servers in the same region connect to on-premises data sources. While the gateway you install is the same as used by other services like Power BI, Power Apps, and Logic Apps, when installing for Azure Analysis Services, there are some additional steps you need to complete. This install article is specific to Azure Analysis Services.
For more details, refer "Install and configure an on-premises data gateway".
Hope this helps. Do let us know if you any further queries.
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