Lambda Labs <-> Azure VPC

Hello,
Currently we have much of our company’s infrastructure running on Azure VMs. We want to move part of the model training/inference to Lambda labs VMs. For security and performance reasons, we require to set up a Virtual Private Cloud between Lambda and Azure, in order of the VMs to communicate seamlessly (though an internal/private network and not through the internet).
Does lambda support this? Is there a procedure that we can follow?
Thank you.

Hi, was wondering if your query got resolved? I am in a similar situation so would love to know how to do this (for AWS but even Azure works fine for my use case)

Have you looked into VPN solutions? Tailscale is easy to set up. Also look at traditional VPN solutions like WireGuard and OpenVPN.