Another question: is your vpn implementation a web based VPN, where you connect to the VPN via a web browser page? Or is it more of a traditional network type of VPN? If it is a web-based type of vpn, and it is trying to embed Moodle as a frame or something, then Moodle security settings may be preventing that. This is sort of a long-shot, but consider this setting:
Site administration > Security > HTTP security > Allow frame embedding
Be sure to switch it back after testing if it does not resolve the issue.
Jamie