The ability to open and close a Azure VPN tunnel
Using something like https://azure.microsoft.com/en-us/services/vpn-gateway/ and other similar services.
Being able to securely connect to On-Premise data thru an on-demand VPN tunnel would provide a cost effective way to connect to this data rather than having to establish an always on VPN tunnel

With the recent updates to Nintex Gateway, we believe that we have a scenario in which this VPN tunnel is no longer needed.
Please feel free to reach out if we did not understand the requirement properly.
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The idea was to be able to call a VPN as part of a workflow, EG Action Set VPN. Inside the VPN action set once the VPN has been established, a SQL action / Web service etc coul dbe used to talk to an on-prem system. The data could be stored to variables and the VPN can be closed.
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Thanks for the suggestion!
So I have a clearer understanding of what you're looking for, what is the final system that you are trying to call through to?