This design uses Local Egress similar to the Local Egress feature in NSX-V.
One has to note that if there are firewalls upstream to Tier 0 Gateway in both the locations, then firewall in one site can drop the connection just because the return packet is actually destined to the other firewall.
This setup uses Asymmetric routing.
Traffic from NSX can egress out via physical routers in Delhi and the return traffic can ingress towards NSX setup using physical routers in Bangalore.
In the lab setup, there is:
a. Stretched Tier 0 Gateway across both the locations Bangalore and Delhi
b. Stretched Tier 1 Gateway across both the locations.
c. Tier 1 Gateway is a DR only Tier 1 Gateway.
d. Segment attached to Tier 1 Gateway is a stretched segment across both the locations.
e. Both the locations are Primary here.
f. AS Path prepending configuration is not applied on the physical routers or on the Tier 0 Gateway.