If you cannot connect to an Azure VM using RDP, ensure that you are using the correct credentials, and then follow the solutions provided here.

Using Azure Bastion to manage VMs via the Azure Portal comes with yet another advantage, namely making jumpboxes — virtual machines used as a springboard to connect to all other VMs in the VNet ...

Microsoft on Tuesday announced a preview of the Azure Bastion service, which lets a user connect to an Azure virtual machine (VM) using a private Internet connection.