Connecting to Azure Database Server

[#1]

thought we were onto something there but if I turn Wifi off on my laptop I can connect to the VPN over the cable connection but not Azure. Switch WiFi back on and unplug cable and all is good. Connect to WiFi with cable connected no good. Now that has confused me!

[#2]

It could be an MTU issue. Check whether the MTU is lower when using the WiFi connection...

[#3]

Maybe check the DNS server details are same on WiFi vs Wired connection.
Then try a tracerout/ping to the database server name - see if it resolves to the same IP address (will not connect)

Maybe do a 
ipconfig /flushdns
inbetween

[#4]

Bored + intrigued by the issue - did a bit of googling and found this issue (DNS name resolution working over Wifi+VPN but not Ethernet+VPN) which may be related.

https://community.fortinet.com/t5/Support-Forum/VPN-connection-works-only-over-wifi-not-wired/m-p/68...

Also made me think - may be worth trying to connect to the DB via IP address rather than DNS name