Lemmy.world, which you log into and is the one that receives your VPN connection, uses Cloudflare in front of their server. So it's actually Cloudflare that receives your VPN connection. It's probably giving you that captcha screen which your app can't display (or being denied entirely). I'm on VPN too and when a link makes me open a .world post it gives me the Cloudflare captcha every time.
Not guaranteed to be this reason but my money's on it. Try logging into lemmy.world from your browser on the VPN, will help you troubleshoot if it gives nonstandard pages when trying to post or especially when logging in.
Nah fuck that shit, blank my brain out so I experience less of this shithole universe /s