Hi, @dilip. My best guess is that your are not being directed to Netlify until you use your VPN. This is probably because a local DNS resolver has the previous DNS records cached due to the time to live (TTL) values in the previous DNS records (not the current DNS records).
Then, when you use the VPN, it overrides the default DNS resolvers and the new resolvers have the current DNS records. When not using the VPN, the default resolvers are used and they have the cached previous DNS records.
If it is the TTL issue, you must wait for the previous DNS records to expire or otherwise flush the resolver cache in some way. Often the DNS resolver used is the one built into a wifi router and, in those cases, rebooting the router will fix this. If the local resolver is the ISP’s regional resolver (meaning some resolver outside the home or business) then waiting for the TTLs to expire is the only fix.
To know for sure, you can look at the IP address returned when when the VPN is off with this command:
If you tell us the IP address returned we can tell you if it is the wrong one or not. The nslookup command sometimes, depending on the OS used, returns the resolver IP address as well. Here is an example: