It usually happens with that soft tbh. They block the "suspicious" IP usage, so that's why they don't wanna work with VPN enabled. I've tried to fix this issue installing different plugins, but it didn't help much. I don't know for sure but the problem is probably in VPN itself. What kind of soft do you use? I personally have a NordVPN but as I learned it sometimes has troubles with different apps. Anyway, I found a good review about expressvpn at https://bestvpnprovider.co/express-vpn-review/ and it has some interesting options. Don't know if it's gonna help me, but at least I will try.
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