If you have an ALB as a frontend to one firewall in each AZ...then read further.
Did you create a source NAT rule for the ALB subnet so it comes from a IP not in your VPC CIDR? A different IP for each AZ subnet which you would then have a route on the app subnet that routes the traffic to each firewalls ENI in each AZ. Also, your firewall rule will have to allow the inbound traffic.
Also...
1. Check the firewalls SG and subnet NACL attached to the subnet of the ALB...Need a SG rule to allow for the health check
2. Check the SG, subnet NACL and Subnet route table attached to the firewalls second interface in the routing subnet.
3. Check the SG, subnet NACL and Subnet Route Table where the application is located. Also, you need to route return traffic to the firewalls internal ENI.
4. You have to add static routes to the firewalls as well to route to the backend subnets since the firewalls do not know about the AWS routes. Example, to get to 192.168.2.0/25 GW 192.168.2.1 and obviously different GW for a firewall on another subnet.