Set "AS_PATH prepending" as described in the following document.
It is not possible to do on-premises style PBR (policy based routing) like that with VGW.
How did you conclude the below?
The network latency from hosts in Availability Zone A is best to Direct Connect location 1. The network latency from hosts in Availability Zones B and C is best to Direct Connect location 2.
Thank you for your comment. A simple traceroute shows hop times.
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Sorry this answer is incorrect. This would result in traffic from all 3 Availability Zones using the same VIF. My question explains the Availability Zone A subnet should use VIF 1 and Availability Zone B, C subnets use VIF 2.
In the active/active case, "AS_PATH prepending" must be the same value so that load balancing occurs.
So I found it difficult to route to a specified VIF for a specific subnet only.