Enable VPN on airplane mode, before connecting I want to set the VPN (in my case vpnunlimitedapp) so it connects through the VPN the second I enable WIFI or 4G. Currently, I have to go online for a moment and then I'm allowed to enable the VPN. How can I remedy this so no bit of information get exposed?
Ok looks like with privateinternetaccess VPN you can do it. You have to enter details given by the vpn provider into the smartphone settings so the app is not required:

Android-How to use " Allways-on VPN"

Related information:

Force VPN usage?

Connect to a virtual private network (VPN)

Automatically connect to VPN when connecting to WiFi?

EDITED LATER:

TunnelBear VPN has a vigilant mode designed to keep your location and data private in the brief seconds while TunnelBear is connecting and reconnecting. Currently the Vigilant feature is available on our Mac OS X and Windows desktop apps, as well as our Android app. You can find this within your Settings/Preferences panel. To turn it on, make sure that it's enabled:
TunnelBear's Online Privacy Blog: A More Vigilant TunnelBear

VPN Unlimited has a similar option. Just go to 'Settings' -> 'VPN Reconnect Settings' -> choose 'WiFi is ON'.