Connecting to a remote computer through a VPN is neither recommended nor supported. Many VPNs operate in such a way that obscures the path of most user-space network traffic, preventing Screens from being able to directly contact and communicate with your remote computer.
Screens offers its own secure connection feature that encrypts the connection to your remote computer, preventing eavesdropping or hijacking by mischievous or malicious parties. See Configuring a Secure Connection in Screens for more information.