In this video, we configure an Azure Network Address Translation (NAT) Gateway. A NAT Gateway provides a static source public IP or IP range for resources in an Azure VNet. It can be used for controlling the source IP for sites that may restrict access by a whitelist, or as an exclusion in MFA Conditional Access policies. The video walks through an example of using a NAT Gateway for a Windows Virtual Desktop (WVD) deployment so users bypass MFA when logging in from a WVD Session Host.
EDIT 10/5/2020: Please see this link for potential issues using WVD and the NAT Gateway https://techcommunity.microsoft.com/t5/windows-virtual-desktop/consistent-thin-client-disconnection-from-wvd-pool/m-p/1599343/highlight/false#