It's over the internet to an Azure public IP (Firewall WAN interface). I'm using a DNat rule on the Azure firewall to the NPS box. The Firewall and NPS VNets are peered and all the routing is definitely working.
I can't use a VPN as there are already VPNs into Azure from the sites where the Meraki's are. The VPNs pass over an Azure Load Balancer which historically has been the reason why we it hasn't worked before, potentially the same problem with the udp fragmentation,
Are you connecting over the internet or using a VPN?