You should do some controlled testing and submit a bug report with behaviour you see, player logs, DxDiag before and after, character name, server region you were connected to time of game, etc.
Do the same test with both VPN on and VPN off and submit both sets of results.
This sort of behaviour can he very context and configuration dependent (and thus hard to replicate reliably on a different computer in a different location) so the more information and data you can provide, the more likely the issues you are experiencing can be resolved.
Pretty sure there is already, but there are some known issues with auto assignment of server region. You can add a vote at the top of my forum suggestion here
