Introduction
Vnet peering is a great way of connecting two separate Vnets with a low latency link over Azure’s backbone.
Setup
2 Vnets in separate region, eBGP between the sites and IPSec tunnel between on-prem and Azure Vnet in UK South.

Configure Peer Link to allow router propagation
az network vnet peering update -g MyResourceGroup -n MyVnet1ToMyVnet2 --vnet-name MyVnet1 --set allowGatewayTransit=true
Result
On-prem firewall learns all routes from VNET in UK South and UK West:
asa01-croxdengardens# sh bgp | i 10.0.1.254
*> 10.0.0.0/16 10.0.1.254 0 65001 i
*> 10.0.1.254/32 0.0.0.0 0 32768 ?
*> 10.3.0.0/16 10.0.1.254 0 65001 i
*> 10.4.0.0/16 10.0.1.254 0 65001 i
*> 172.17.0.0 10.0.1.254 0 65001 i