VPN is being blocked by Microsoft Defender SmartScreen.

FWIW ~  

No Run Anyway option on SmartScreen
The options that the SmartScreen presents to you depend on your Windows Defender settings. If you don’t see the Run Anyway option, you’ve set Windows Defender to be particularly vigilant to the point that it’s not letting you exercise your own judgement when an app is blocked.

To fix the problem, open Windows Defender and go to App & Browser Control. Under ‘Check apps and files’, select the ‘Warn’ option instead of the ‘Block’ option.

When you next encounter the SmartScreen, click the See more option. This will reveal the Run Anyway button that you can click to run the app in question.

https://www.addictivetips.com/windows-tips/fix-no-run-anyway-option-on-smartscreen-windows-10/

How to allow an app to bypass SmartScreen on Windows 10
Although you can always use the More info option and clicking the Run anyway button, you can also prevent SmartScreen from blocking an app using these steps:  [...]

https://www.windowscentral.com/how-disable-smartscreen-trusted-app-windows-10

Submit files to Microsoft Defender SmartScreen for review
If you believe a warning or block was incorrectly shown for a file or application, or if you believe an undetected file is malware, you can submit a file to Microsoft for review. For more info, see Submit files for analysis.

When submitting Microsoft Defender SmartScreen products, make sure to select Microsoft Defender SmartScreen from the product menu.

https://docs.microsoft.com/en-us/windows/security/threat-protection/microsoft-defender-smartscreen/microsoft-defender-smartscreen-overview#submit-files-to-microsoft-defender-smartscreen-for-review 

Caveat: Norton 360 user