Azure automatically creates a route table for each subnet within an Azure virtual network and adds system default routes to the table. The route table is like a networking map that tells the traffic from one place to another place via the next hop. This generates the "path" but does not filter traffic.
The Azure network security group is used to filter network traffic to and from Azure resources in an Azure virtual network. It contains security rules that allow or deny inbound network traffic to, or outbound network traffic from, several types of Azure resources. If there is no route to one place from a subnet, you even do not need to configure the security rules because there is no path. So when you consider the NSG it should have a successful network route.
For example, usually, we can access Azure VM in Azure virtual network via SSH or RDP over the Internet but it has a less secure way to expose the port 22 or 3389. We can restrict access to your Azure VM via specifying the source IP address in the NSG. This setting allows traffic only from a specific IP address or range of IP addresses to connect to the VM. Read more details here. In this scenario, we need to ensure that there is a route to the internet from your Azure virtual network and vice versa.