It may depend on your UDR setup. If you have a UDR rule routing the traffic to any firewall appliance, it may possibly be related to traffic not being allowed in the firewall. If there is no UDR or UDR rule routes this traffic to the Internet, it would be using default outbound access provided by Azure as explained in the below link.

https://learn.microsoft.com/en-us/azure/virtual-network/ip-services/default-outbound-access#when-is...

It would be recommended to disable public IP. If there is a firewall in place, you may need to reach out to the admin team to look into the connectivity from your Databricks vnet being blocked.