Can not connect to Azure resource with Zscaler

Zscaler replaced my office Public IP so I can not access to my azure resource like sql server.
If need to enable access to the azure resource with Zscaler. do I need to add the ip address of my region into azure resource networking whitelist?
https://config.zscaler.com/zscaler.net/cenr

Like if I am in HK, I need to add the 165.225.116.0/23 ip range into azure resource networking whitelist?
The ip range is so large! and if do so, I am worrying that other companies in Hong Kong (which using zscaler) can access to the my azure resource (in network level)

Yes that is what you could do and your concerns are very valid that it would allow other Zscaler customers access.

You could look at SIPA as an option.