Check the "Allow connecting using 3G" box in CC's Settings / Connecting to calibre / Content server connection / IP address and port, or the equivalent in the wireless device setup. That tells CC to attempt to connect even if WiFi is off, using whatever networking is available. I can't guarantee that connections will work because VPNs can be strange but at least you will get past the WiFi check. By "strange" I mean that VPNs may or may not pass UDP and broadcasts, DNS may or may not work correctly, and routing might send the packets over the wrong network.
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