A company has set up a VPN device on their on-premises that will be used for Site-to-Site connection from an on-premises location to Azure. Which of the options would represent the on-premises VPN device in Azure? 

Answer options:

A.DNS Zone
B.Application gateway
C.Local network gateway
D.Virtual Network gateway

Answer – C 
This is clearly given in the Microsoft documentation. 

Since this is clearly given, all other options are incorrect. 
For more information on creating a site to site connection, please visit the below URL- 

https://docs.microsoft.com/en-us/azure/vpn-gateway/vpn-gateway-howto-site-to-site-resource-manager-portal