When you are using a VPN (Virtual Private Network) on a Windows VPS, the issue is that you are going to change the IP which is used to access your VPS. Therefore, when you hit the connect button, you'll be instantly disconnected from your Windows VPS.
If your VPN provider is allowing it, you can always access your VPS from your VPN IP assuming it is fixed and only if you know it ahead of the connection.

However, if your VPN client is using Dynamic IPs, or you don't know which IP is going to be used you'll need to configure a dynamic DNS client on your VPS which will fetch your IP and associate it to a static hostname.
From this step, you'll be able to connect to your VPS by swapping the IP by the given hostname in the remote desktop application.

So before connecting to your VPN, you must follow the steps below :

1) Choose a Dynamic DNS service provider. We recommand no-ip.org which is working flawlessly with our Windows VPS.
2) Upon, registration you'll be able to choose your hostname that will be used to connect to your Windows VPS. Please note that you will not need your VPN to be active for you to be able to use the hostname as it will also fetch the VPS genuine IP.
3) Once registered, you'll need to download their Dynamic DNS client, use your default logins defined at the registration process configure it as you please (including the refresh rate useful for Dynamic VPN IP).
4) Once installed and configured, you can try the hostname directly in your remote desktop application to make sure it is working properly before triggering the domain.

**The hostname also support the RDP custom port you may have defined as shown here : hostname:port**

5) Once you have the confirmation, your Dynamic DNS is working properly you can hit the connect button of your VPN.