Hi Anushankar,
Please remove the default route (0.0.0.0/0) from any UDR you are using and then perform troubleshooting. Also, make sure no UDR is attached to the Azure Firewall subnet. If VPN is disconnecting, try collecting the VPN IKE logs from the AWS or Azure side(you can use Network watcher).
Post connection is successfully established please use Connection Troubleshoot from Network Watcher to troubleshoot connectivity.
Regards,
Sarthak, CSA, Microsoft.