mkless thanks for reaching out!
Context should be the source instance.
The error message you've received "because there is no network connectivity between source instance 'source-instance' and target instance
'target-instance'.'" indicates there's no network connectivity. Most likely, there's no VNet peering or required ports are not allowed on source or destination subnets. But then it's confusing that copying via Azure portal, from the same source to the same target does succeed. If that's the case - with same instances it's working via Azure portal and not via Azure PowerShell, I advise you to (1) open a support ticket so we handle this issue officially, and (2) send me a DM here or via email, so we directly work on this as well.