Keep in mind that using a VPN or not does not mean improved security. It could even add additional risk of data stealing if you use a free one or even a paid one. Always input your seed/private key offline to avoid this.
Your seeds or private keys shouldn't leave your device in the first place. Connecting to a VPN does help with the anonymity but the impact to the security should be managed fairly well. There's a risk of Sybil attack with SPV wallets but some wallets tries to mitigate this.