First login attempt aways fail, second works on SQL Server Azure - sql

I have a SQL Database hosted in azure.
When I try to login, the first attempt always fails, the second works as expected.
The error I receive is
Cannot connect to databasex.database.windows.net.
------------------------------ ADDITIONAL INFORMATION:
A network-related or instance-specific error occurred while
establishing a connection to SQL Server. The server was not found or
was not accessible. Verify that the instance name is correct and that
SQL Server is configured to allow remote connections. (provider: Named
Pipes Provider, error: 40 - Could not open a connection to SQL Server)
(Microsoft SQL Server, Error: 53)
For help, click:
http://go.microsoft.com/fwlink?ProdName=Microsoft%20SQL%20Server&EvtSrc=MSSQLServer&EvtID=53&LinkId=20476
Why is this happening and how to solve this?

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When I try to connect to SQL Server by SSMS via VPN, it works fine. When I try to connect to the LAN via Ethernet, I get
TITLE: Connect to Server
Cannot connect to AYWCSSQL27\SQLS302, 1984.
------------------------------ ADDITIONAL INFORMATION:
A network-related or instance-specific error occurred while
establishing a connection to SQL Server. The server was not found or
was not accessible. Verify that the instance name is correct and that
SQL Server is configured to allow remote connections. (provider: TCP
Provider, error: 0 - The wait operation timed out.) (Microsoft SQL
Server, Error: 258)
For help, click:
https://learn.microsoft.com/sql/relational-databases/errors-events/mssqlserver-258-database-engine-error
The wait operation timed out
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A network-related or instance-specific error occurred while
establishing a connection to SQL Server. The server was not found or
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SQL Server is configured to allow remote connections. (provider: Named
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TITLE: Connect to Server
------------------------------
Cannot connect to master.
------------------------------
ADDITIONAL INFORMATION:
A network-related or instance-specific error occurred while establishing a connection to SQL Server. The server was not found or was not accessible. Verify that the instance name is correct and that SQL Server is configured to allow remote connections. (provider: Named Pipes Provider, error: 40 - Could not open a connection to SQL Server) (Microsoft SQL Server, Error: 53)
For help, click: http://go.microsoft.com/fwlink?ProdName=Microsoft%20SQL%20Server&EvtSrc=MSSQLServer&EvtID=53&LinkId=20476
------------------------------
The network path was not found
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A network-related or instance-specific error occurred while establishing a connection to SQL Server. The server was not found or was not accessible. Verify that the instance name is correct and that SQL Server is configured to allow remote connections. (provider: Named Pipes Provider, error: 40 - Could not open a connection to SQL Server) (Microsoft SQL Server, Error: 121)
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Cannot connect to MY-SERVER.
ADDITIONAL INFORMATION:
A network-related or instance-specific error occurred while establishing a connection to SQL Server. The server was not found or was not accessible. Verify that the instance name is correct and that SQL Server is configured to allow remote connections.
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use ., localhost or 127.0.0.1 for local server with default instance.