ZyXEL Communications VPN Series Handbook page 42

Security firewalls
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For Gateway type, select VPN. For VPN type, select Policy-based. For Resource
Group, the resource group is determined by the Virtual Network that you select.
For Location, make sure it's showing the location that both your Resource Group
and VNet exist in.
New > Networking > Create virtual network gateway > Choose public IP address >
Create public IP address
In the Azure Portal, navigate to New > Networking > Local network gateway. The
local network gateway refers to your ZyWALL/USG public IP and local subnet
settings.
On the Create local network gateway blade, specify a Name for your
ZyWALL/USG gateway object.
Specify public IP address of your ZyWALL/USG. It cannot be behind NAT and has
to be reachable by Azure. Address space refers to the address ranges on your
ZyWALL/USG local network. For Resource Group, select the resource group that
you created before. For Location, if you are creating a new local network
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