Second player can't connect to self-hosted server

Hello everyone. I am developing a simple tic-tac-toe game to learn basics. I programmed the main logic and game works on Photon Cloud. I followed the PUN introduction tutorial for making the game. When first player connect to server it creates room and wait for the other player. When second player enters the room the game starts and runs perfectly.

Hovewer, I decided to move to self-hosted server. I started a VM on Azure and configure required ports. Now, the first player can connect to server and create a room but when second player hits the "play" button, nothing happens. Only OnConnectedToMaster() works and logged at "Console" but nothing more. I wonder why the game works with Photon Cloud but not with self-hosted server, is there any possible reason. Thanks for your time.

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