I am trying to use Azure Data factory to transfer data from On Premise database to Azure blob storage. I know data management gateway uses HTTPS to transfer data but We want to configure the connection in a way that Data management gateway doesn't use internet to transfer data from On premise database to azure blob.
1. Do we need to use Azure ExpressRoute to extend out Virtual Network to Azure Network?
2. Do we need to use Site to Site VPN to extend Azure Vnet to Our virtual network?
Will these approaches avoid using internet with Data Management Gateway?