Tethered VPN Connection
You can try changing the DNS servers of the wifi connection.

To change the DNS settings:


Open the Settings on the device.
Select “Wi-Fi”.
Long press your current network, then select “Modify network”.
Mark “Show advanced options” check box.
Change “IP settings” to “Static”
Add the DNS servers IPs to the “DNS 1”, and “DNS 2” fields


Example Google DNS 8.8.8.8 and 8.8.4.4 (Disconnect wifi then connect again and check if it works)

Alternatively you can change to another better VPN, if it is not configured to work via tethering then activate it but performing the following commands in terminal as root:

Iptables -t filter -F FORWARD
iptables -t nat -F POSTROUTING
iptables -t filter -I FORWARD -j ACCEPT
iptables -t nat -I POSTROUTING -j MASQUERADE