One thing to consider is that with NLB the default setting for UDP listeners is to preserve the client IP. With what you have described, this would be asynchronous flow (client -> NLB -> target -> NAT -> IGW) which explains why TCP is working as that protocol can handle such traffic.
I would suggest checking the Client IP Preservation for your target groups and let us know. Documentation about Client IP Preservation can be found here
Please let us know how it goes!
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