Connectivity can be from an any-to-any (IP VPN) network, a point-to-point Ethernet network, or a virtual cross-connection through a connectivity provider at a co-location facility. ExpressRoute connections do not go over the public Internet. This allows ExpressRoute connections to offer more reliability, faster speeds, lower latencies, and higher security than typical connections over the Internet.
Reference:
https://docs.microsoft.com/en-us/azure/vpn-gateway/vpn-gateway-forced-tunneling-rm
https://docs.microsoft.com/en-us/azure/expressroute/expressroute-introduction