We don't officially support our desktop app with VPNs @raykovskyy but perhaps there's a way to open a path for the app once you have your VPN on, like adding permissions for it. Anything that you can look with the VPN provider itself?

Keep me posted!

I have the same issue. When the VPN is on, deezer  pretends that I am off-line, while I can use all the other apps and surf on the Interner. It looks that Deezer is not compatible with that kind of network configuration, too bad...