Other way around: What VPN app you are using that cooperates with AFWall+?
FWIW I have used PIA VPN with Afwall in "allow selected" mode with "Active rules > VPN" enabled, and with the VPN app (and a handful of system components and selected apps ) given a pass through the firewall. A subset of system components and apps also requires a pass through VPN. This is by no means, a mission-critical lockdown, not even close, but it does serve a purpose for browsing and email access in web interfaces.