Hm... You could try tcpdump(8), e.g. tcpdump -i urndis0
; there might be some hints there as you do a ping, then DNS lookup, then try to establish a TCP connection.
If it's just TCP, it would be interesting to see if routing all traffic through a WireGuard tunnel with wg(4) prevents the connection to the gateway from falling over. That's not really a solution but it could be an interesting test.
Finally, from ifconfig(8), it looks like you can enable per-driver debug mode.
I think ifconfig urndis0 debug
will enable it.