They've got Azure VM (running SQL 2019 Analysis Services) connected to Azure AD via Azure Domain Services. It is on DomainX.com domain.
For Quest Users works well, when using B2B collaboration scenario in Azure service like PowerBI.com, They can share on-premise datasets with guest users and grant different level access as well in my local VM.
They need those same quest users to work with on-premise programs as well. For example quest.user@DomainY.com is defined in DomainX.com Azure AD and they've set permissions in SQL Server Analysis Services (in local VM) for that user. Now this same person quest.user@DomainY.com is logged into in his/hers personal computer in DomainY.com domain/network environment. They want local programs like Excel etc. to be able to connect to their VM and authenticate using the same quest accounts.