Hi Abhishek
As far as I know, there are three ways to connect to an SAP S/4 HANA system:
There is one other option: setting your Gateway-services open for the world to use them. But please, don’t ever do that :)
I wouldn’t advise you to follow the approach on connecting to a VPN via a Mendix application and then access your SAP S/4 HANA services … I couldn’t even think on how you’d put that to work in the first place honestly :)
I hope this information helps you forward.
Kind regards,
Leander