Your print shows you have Windows Authentication on, so the connection to the DB will be made on your currently logged user on your machine (i'm assuming your user does not have access to the DB by the way).
Does the other option work for you when you state the specific user?
You would need to use the database user to log.
Since you can access the VPN's machine, it would be as any other network connection as I see it.
See this post for some information: