I do not use VPN but it does seem logical to me that you will have to open the connection before you will be able to connect to the data store. Once that connection is open you should be able to use the ADO connection as you would otherwise since you are effectively at that server. I am not aware of any functionality inside of CR itself to manage a VPN connection. That might need to be integrated with another programming language such as .Net.
Sorry I could not be of more help.
Regards,
John W.