@CheekiBreekiHelsinki you have some missing information needed in your first post.
What device is your dhcp server? (manufacturer and version) Is it on the same subnet as the FOG server? You mentioned the VM and FOG server was on the same subnet. What hypervisor are you using? I assume when you say “run PXE” you are saying you are trying to pxe boot the VM? Is the VM in bios or uefi mode? What specifically do you have defined for dhcp option 66 and 67?Lets start with those questions to see what’s next