HI Reza,
Currently we don't have VXLAN termination on the switch. This is on the roadmap. It is planned to be introduced with Mellanox switches (Spectrum) with Cumulus OS in few months.
Can you add the VXLAN header on the host adapter? we do support VXLAN offload on the adapter.
See Getting started with VXLAN over ConnectX-3 Pro adapters on CentOS 7.1 for example.