Hi Giuseppe De Francesco
My understanding was that your requirement is to avoid MS Store and not the apps available in it.
However, it appears you would like to not use any app that is available in MS Store. Apologies on the misunderstanding.
The official recommendation from Microsoft for Azure P2S VPN is to use Azure VPN Client only. If you do not have access to MS Store, you can leverage https://aka.ms/azvpnclientdownload where the set up file is readily available.
Experts from Q&A would have expertise over Azure/MS products, but the same cannot be said for 3rd party pools. Unfortunately, we will not be able to recommend any 3rd party tools.
Hope this adds more clarity.
If above is unclear and/or you are unsure about something add a comment below.