The printer in your VDI session is “pulled through” from your PC. The VDI session only "sees" equipment that was connected when you are logged in.
If this does not happen it is usually because the printer was not ready when you logged into the VDI.
- Ensure your printer is switched on and hasn't gone to sleep.
- Logout the VDI.
- Wait a couple of minutes.
- Log back in.