For Azure VM replication, ensure that the NSG rules on the source Azure region allow outbound connectivity.
Like this example NSG configuration. Please note, you need to create an outbound HTTPS (443) rules for the Site Recovery IPs that correspond to the target location in the source NSG, but create an outbound HTTPS (443) rules for the Site Recovery IPs that correspond to the source location in the target NSG.
In this case, you want to create outbound HTTPS (443) rules for the Site Recovery IPs that correspond to the source location: Location-East US, Site Recovery IP address-13.82.88.226, Site Recovery monitoring IP address-104.45.147.24, it will like this: