Hi, 

I don't think you will find any reference at MS docs. This is custom setup. But really similar approach is done in below knowledge base entry. In this article they choose to use firewall as stable egrees IP, but it doesn't matter. The same kind of steps you need to perform to make it work with your own NAT Gateway. Basically, you need to route all outbound traffic from databricks subnets to NAT Gateway 

https://kb.databricks.com/cloud/azure-vnet-single-ip