You can filter network traffic to and from Azure resources in an Azure virtual network with a network security group. A network security group contains security rules that allow or deny inbound network traffic to, or outbound network traffic from, several types of Azure resources.
You can use a site-to-site VPN to connect your on-premises network to an Azure virtual network. Users on your on-premises network connect by using the RDP or SSH protocol over the site-to-site VPN connection.
You don't have to allow direct RDP or SSH access over the internet. And this can be achieved by configuring a deny rule in a network security group (NSG) that is linked to Subnet1 for RDP / SSH protocol coming from internet.
Modify the address space of Subnet1 : Incorrect choice
Modifying the address space of Subnet1 will have no impact on RDP traffic flow to the virtual network.
Modify the address space of the local network gateway : Incorrect choice Modifying the address space of the local network gateway will have no impact on RDP traffic flow to the virtual network.
Remove the public IP addresses from the virtual machines : Incorrect choice If you remove the public IP addresses from the virtual machines, none of the applications be accessible publicly by the Internet users.
Reference:
https://docs.microsoft.com/en-us/azure/virtual-network/security-overview
https://docs.microsoft.com/en-us/azure/security/fundamentals/network-best-practices

Explanation:

The process is simple:
Add the custom domain name to your directory
Add a DNS entry for the domain name at the domain name registrar
Verify the custom domain name in Azure AD
References: https://docs.microsoft.com/en-us/azure/dns/dns-web-sites-custom-domain