You will have to work with the network team, not Power Apps.
However:
1) verify what types of firewalls if any you have between Power Apps and your Source
2) you say its a VPN. is it a VPN to a private cloud network or to onpremise?
3) have you verified that you can ping or otherwise get to that OnPrem assuming it is) directly, versus through Power Apps
There are several thigns that will block it. VPN is great, but are the ports open? Do you have a DMZ?
again this is a network issue, not power apps.
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