Run Data Gateway from container

Currently my company has a data gateway installed on a physical server on-prem. This server is being decommissioned and I need to run the datagateway from Azure where we have the VPNs configured and access to the on-prem servers. I know I could spin a VM and install the gateway there but this isn't cost-effective as that VM would need to be up and running 24x7 only to serve the gateway. I think it's best to prepare a container image with the gateway (or an empty windows image that installs and configures the gateway on load) but I don't have a clue where to start.

How can I spin a container to serve the data gateway? Or is there another way to access on-prem sql servers from the power bi platform?