Azure AD - Conditional Access Policy - On-Premise MFA Server
Azure AD should allow for redirect via a conditional access rule to On-Premise MFA Server and not just the cloud version of MFA. You can create a conditional access rule to redirect to other 3rd party MFA solutions such as DUO, but not you own Microsoft On-Premise MFA solution. This will allow for companies to leverage their on-premise MFA server to which may already have a large technology investment.
Are you federated with Azure AD? You can use the SupportsMFA=True flag https://docs.microsoft.com/en-us/powershell/module/msonline/set-msoldomainfederationsettings?view=azureadps-1.0 which will have the Federation server which can have the Azure MFA Server provider installed.