According to the Citrix documentation1, "Cloud Connectors are the communication channel between your resource location and Citrix Cloud. They enable cloud management without requiring any complex networking or infrastructure configuration such as VPNs or IPsec tunnels. Resource locations contain the resources you want to make available to your subscribers, such as applications and desktops. Each resource location requires at least one Cloud Connector to communicate with Citrix Cloud." Therefore, the VDA machines should communicate with a Cloud Connector that is located in the on-premises location in order to become registered with the Site.
1: Cloud Connector Technical Details
https://docs.citrix.com/en-us/citrix-virtual-apps-desktops-service.html