NOTE: This task may a very long time to complete. You do NOT need to wait for the deployment to complete this task successfully.
See explanation below.
Explanation
We create a VPN gateway.
Step 1:
On the left side of the portal page, click + and type 'Virtual Network Gateway' in search. In Results, locate and click Virtual network gateway.
Step 2:
At the bottom of the 'Virtual network gateway' page, click Create. This opens the Create virtual network gateway page.
Step 3:
On the Create virtual network gateway page, specify the values for your virtual network gateway.
Gateway type: Select VPN. VPN gateways use the virtual network gateway type VPN.
Virtual network: Choose the existing virtual network VNET01-USEA2
Gateway subnet address range: You will only see this setting if you did not previously create a gateway subnet for your virtual network.
Step 4:
Select the default values for the other setting, and click create.

The settings are validated and you'll see the "Deploying Virtual network gateway" tile on the dashboard.
Creating a gateway can take up to 45 minutes.
Note: This task may take a very long time to complete. You do NOT need to wait for the deployment to complete this task successfully.
References:
https://docs.microsoft.com/en-us/azure/vpn-gateway/vpn-gateway-howto-site-to-site-resource-manager-portal