Open the hidden Network Connection Editor
There is a hidden app that does not show when you search for it. To open this app, open a terminal by pressing Ctrl+Alt+T and enter:
nm-connection-editor
This will open the Network Connection Editor as below:

- Select your WiFi Network
- Click on the Settings "cog" icon below
See the picture below for the next screen:

- Select the General tab
- Check the box next to Automatically connect to VPN when using this connecion
- Select the VPN from the drop-down menu below.
- Click the Save button below to save the changes.
Unhide Network Connection Editor
To make Network Connection Editor show up in applications searches in Gnome, do the following:
Go to /usr/share/applications
and find the icon for “Network Connections”. Right click and edit as administrator. Comment out the line: NotShowIn=KDE;GNOME;
to:
#NotShowIn=KDE;GNOME;
Now it will show up in the “Show Application”
Hope this helps