@Karusala , As you mentioned that you are able to connect from Windows machine to Linux machine which are in different VNET, we can infer that there are IP connectivity between 2 VMs.
Now if you are not able to connect to the DB, then there can be issue with the following :
- Your Linux VM might have IP Tables configured which blocks the connectivity to the DB port
- Check whether the service is running on your Linux Vm with "netstat -ano" command and also you can try to access the port locally to check if that works.