If the software has a COM interface, you can use the MATLAB COM Interface. Alternately, you can explore the other External Interfaces that MATLAB provides and see if the software has any compatible interfaces.
If you can figure out how to launch VPN from the Windows or Linux command line (try reading the VPN documentation or doing a Google search), you can execute the program from Matlab's command line or from within a program by putting ! in front of it (see here).
MATLAB and Simulink resources for Arduino, LEGO, and Raspberry Pi