Seems like Apllo is so intent on mining and downloading the Bitcoin blockchain that it's next to impossible to set it up with a VPN before it leaks your IP address and announces to the world that you try to mine Bitcoin.
You could always go the full-manual route, as described here. https://bitcointalk.org/index.php?topic=5401729.0That way, you could update the system and install & set up everything you need, even before installing Bitcoin or the mining software.
The FuturebitOS is just an easy quick way to get started; if you want to do custom stuff, you need to do custom things.
