https://learn.microsoft.com/en-us/azure/bastion/bastion-nsg
Ingress Traffic:
Ingress Traffic from public internet: The Azure Bastion will create a public IP that needs port 443 enabled on the public IP for ingress traffic. Port 3389/22 are NOT required to be opened on the AzureBastionSubnet. Note that the source can be either the Internet or a set of public IP addresses that you specify.
Egress Traffic:
Egress Traffic to target VMs: Azure Bastion will reach the target VMs over private IP. The NSGs need to allow egress traffic to other target VM subnets for port 3389 and 22. If you are using the custom port feature as part of Standard SKU, the NSGs will instead need to allow egress traffic to other target VM subnets for the custom value(s) you have opened on your target VMs.