PowerBI Gateway permissions

Hello,

I am currently running the following configuration in Azure:

PowerBI -> VM with PowerBI Gateway in vnetA -> VM with SQL Server in vnetB

VnetA and VnetB are peered

The VnetA and VnetB have inbound and outbound rules set to AllowAllVnetInbound\AllowAllVnetOutbound

Once I set this up I can see the gateway in my PowerBI instance. When I try to add a datasource to the SQL server in vnetB, however, it is unable to connect. 

I can make it connect by adding the IP address of the Gateway VM directly to the inbound rules of the VnetB Network Security Group, but due to scale this is not a good solution.

Anyone have an idea why the network peering in this case is not allowing the connection?

Thanks.