Known issue - West India region doesn't support on-premises data gateway for pipelines
West India region currently doesn't support on-premises Data gateway for Data Factory pipelines.
Status: Open
Product Experience: Data Factory
Symptoms
If you are in the West India region, you don't see the option to select the on-premises data gateway during the creation of a Data Factory pipeline connection.
Solutions and workarounds
Use a tenant in a region other than West India.