Seriously weird VPN issues

If you are not connecting to your local network/internet using a WiFi connection, how are you obtaining your internet connection?

Be aware that despite creative marketing by many companies, such as Norton, VPNs are not a panacea, and neither are they a universal security solution. Unless you fully understand precisely how they are used - their benefits and their shortcomings - they are perhaps best avoided. Consider that the majority of your traffic already benefits from TLS encryption.

In most instances, unless you are running your own VPN Gateway, Commercial VPN services are only beneficial in providing additional security when you are connecting to an unprotected public network connection (such as a WiFi hotspot found in coffee shops, airports etc) - and can only provide this additional protection as far as the VPN Operator's Gateway where your network traffic is delivered to the internet for onward transmission to its destination. Commercial VPNs do not offer end-to-end security.

You also need to understand that the iPadOS Lockdown Mode significantly changes the way that your iPad behaves. Unless you are (a) amongst a small minority of individuals at high risk of being targeted by a Nation State Actor (who is prepared to expend considerable effort and resources in attacking you as an individual) - or (b) are currently being attacked - you would be well advised to disable Lockdown Mode.