The following thread from 2014 seems to handle your case
Can I share my Android's VPN connection over a Hotspot?
It contains several suggestions that require rooting the phone,
which is not really recommended.
I refer to the one answer that does not require rooting :
Unfortunately the stock Android tethering application does not work with VPNs.
This limitation is an oversight in the software and not a
system limitation.
However there is an application called ClockworkMod Tether that
will allow you to tether and use a VPN at the same time. In fact it
makes use of the standard tethering application and then fixes up the
routing information to make it work.
This application does not require you to root your phone but you do
need to run software on the computer that you wish to connect to your
phone. Also this only works for USB tethering at the moment.
There are other alternatives to ClockworkMod Tether, if you wish to
try them, including PDANet+.
I note that ClockworkMod Tether is a 14 day trial. You will have full unfettered usage for 14 days, after which you will only be able to download 20MB a day. You will need to buy Tether Premium for $4.99 from the application's menu to unlock the full version.
The free edition of PdaNet+ has timed usage limit, but is otherwise the same as the full version. I have not found the paid version on Google Play,
so do not know its cost. The upgrade is probably done as in-app purchase.
I have never used both these applications and cannot vouch for them.