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Short answer: Don't bother, it's too complex to setup (unless your app is HTTP or supports the PROXY protocol). You better read your proxy logs instead.
Long answer: What you want is called "IP transparency" and require your proxy to "spoof" the IP address of the client when forwarding packets to the remote server. Some proxies do it (Nginx plus, Avi Vantage, Fortinet) but are paid services. I don't know for free solutions as I only ever implemented it with those listed above.
This require a fairly complex setup though:
0. IP address spoofing
The proxy must rewrite all downstream request to spoof the client IP address, making it look like the traffic originates from the client at the TCP layer.
1. Backend server routing
As the packet will most likely originate from random IP on the internet, your backend server must have a way to route back the traffic to the proxy, instead of it's default gateway. Otherwise you'd implement what is called "Direct Server Return*, which won't work in your case (packet will be dropped by the client as originating from your backend server directly, and not from the proxy).
You have two solutions here:
3. Intercept and route back return traffic
The proxy must be aware that it must intercept this traffic targeted at the destination IP of the client as part of a proxied request. This require a proxy that can bind on an IP that is not configured on the system.
So yeah, don't do that unless you NEED to do that (trust me as I had to do it, and hated setting it up).
Edit: apparently haproxy supports this feature, which they call transparent mode
I think this is right but to make it work you'd need to do one of two things to pull it off. First off, if you're doing it just for Web the nginx proxy putting original ip in the header and unpacking on the other side is the smart move. Otherwise.
1: route all your traffic on your side via the vpn, and have the routing on the vpn side forward the packets to the intranet ip on your side not do dnat on it.
2: if you want to route normal traffic over your normal link then you could do it with source routing on the router. You would need two subnets, one for your normal Internet and one for the vpn traffic. Setup source routing to route packets with the vpn ip addresses go via vpn and the rest nat the normal way then the same as before, vpn on cloud forwards not nat to your side of the vpn.
In both cases snat should be done on the cloud side.
It's a fiddly setup just to get the ip addresses though.
I think you meant to reply to another comment. I never talked about setting up NAT rules, neither source, nor destination.
The proxy is responsible for responding with the correct IP address as it terminates the connection. Setting up NAT rules is not needed.
Well, I was replying to OP through your reply since it was pretty much spot on. Except I was giving some idea of other ways to bring the original IP through a VPN using the linux ip stack features. Whatever way they go about it, it's a lot of effort for not that much upside though.