Hi @veerabose chandran , I understand you have a requirement to deploy an Azure Firewall in Hub vnet with the requirement of application FQDN filtering.
Use Azure Firewall with at least Standard SKU, as Basic SKU does not support application level FQDN filtering. Reference: Azure Firewall Feature comparison.
Use the following guidance to create a new subnet in Hub named "AzureFirewallSubnet" (it must use this subnet name) then deploy Azure Firewall in it. Tutorial: Deploy and configure Azure Firewall and policy using the Azure portal
After Azure Firewall is deployed, create network rules and application rules as required. Then, make sure that UDR (User Defined Route) is applied to all spoke subnets and to Hub's GatewaySubnet (to route the traffic from VPN Gateway to Firewall)
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