This problem is known as “Teleport Failed: Instance not Found”, most likely related to networking between certain IPs coming from a country that is likely to be sanctioned such as “Iran”, and to a server provider such as Amazon which already banned Iranian’s IP 2 years ago or so.
The key to solve this problem lays in route tracing and a software called “MTR” test which there is a link on blizzard support and how to do it.
This problem is nothing new and blizzard team is 100% capable of fixing it as they did before in 8.3 (referring to this thread: Continuous Issue of being stuck on Loading Screens - #169 by Jingoraitin),
with test data collected from players blizzard team managed to fix the problem within a month or so.
In Shadowlands this problem came back exactly at launch of Shadowlands and many players including myself could not play the game without VPN! so we made a thread to start collecting test data again to solve the problem (referring to this: Continuous issue of being stuck on loading screens [NEW TOPIC] - #145 by Nazragoth-emerald-dream).
There are still many test data in this thread and they are related to the new problem. no one just really cared enough to answer properly or even look at logs… , hopefully this thread can gain enough attention from the right people to finally after 4-5 months of miserable game play experience, risking your computer safety and what not, we can play normally like rest of the world. as if already living in this country is not hard enough, that we have to endure such discrimination in video games too. we just want to play to forget.