I have a Galaxy Note 9 and my trouble is that everytime I use a VPN application I cannot use it because sometimes it connect and disconnect right away don't know what the issue is I never had any problems with the Note 8 I have used nordvpn, expressvpn, AVPN, VPN Unlimited all of them I used and my phone or services will not go through and I have a security camera waylens 360 which I have for a while it connects to the camera when it wants to don't know if there is a bug on the phone that would not permit the phone to the security camera to communicate.
I have similar issue with nordvpn and torguard on my note 9, the vpn doesn't work. IP still showing my current location. But in secure folder mode strangely enough it works for me. Give it a try in secure folder mode.
Rebooting will fix it for 1 connection.
After disconnecting and reconnecting the problems shows up again, it's a software based issue.
It needs to be fixed via an update to solve the problem, completely
Another thing you can try is to disable your vpn app in the power saving mode setting. I found that this also caused the vpn not to work. I am now able to use the vpn now.
Settings-> Device Maintenance-> Battery-> App power monitor.
Uncheck your VPN app.