This is the same problem that I had and the answer was supplied in an unrelated topic - I haven't looked for it, but I shall if you're interested. The answer in my case, to start my ProtonVPN automatically on boot:
Right-click the Zorin menu button on the bottom left of the taskbar
Select "Edit Menu"
From the list of apps you see, find your VPN app
right-click the app and choose "Properties"
In that dialogue you'll see "Command" - copy the instruction in that Command box
Close that dialogue
Search in the menu for Startup Applications
Press "Add" and enter a Name description, and the copied command into the Command box
I'd like to use protonvpn on PCLOS Debian (it is in Synaptic Package Manager) but no instructions on how to implement it (unless it gets picked up in Network Settings "Start VPN automatically" - might save you having to run in Startup Applications.
I've tried using RiseUp! which does start automatically, but it creates an issue with my Weather widget so removed it.
I have recently added ProtonVPN on my phone. It's just the free one. I love seeing some of the crazy Netherlands adverts on Spotify!
Just remember, when using a VPN Zorin Connect or KDE Connect will not work as your phone will be looking for a machine on the same network which disappears if using VPN.
For sure the complications of a VPN with Connect and (as I realised after struggling for an hour) printers are a real pain, but for a bit of privacy it's worth it. When I want to print something I just temporarily switch the VPN off.