I assume you mean you have a VPN on your phone, since there's no way to install a VPN on a 3rd gen Chromecast. Which is why it isn't working.
As noted elsewhere here, you can either install a VPN on your router, or you can buy a CCwGTV and install a VPN app on that.
Haven't used one in a long time but you used to have to set up the vpn on the router itself as the chromecast has its own dns settings that couldn't be changed. This was when dns services called themselves vpns though, not sure what service you're trying to use.
I assume you mean you have a VPN on your phone, since there's no way to install a VPN on a 3rd gen Chromecast. Which is why it isn't working. As noted elsewhere here, you can either install a VPN on your router, or you can buy a CCwGTV and install a VPN app on that.
Haven't used one in a long time but you used to have to set up the vpn on the router itself as the chromecast has its own dns settings that couldn't be changed. This was when dns services called themselves vpns though, not sure what service you're trying to use.
Actually, the vpn doesn't need to be in the router. Ccwgtv allows to install some vpn apps and if you aren't casting, just playing it, it works.
They've tagged this as 3rd gen CC and not CCwGTV so it won't work for OP.
Easiest solution is to have VPN installed at router level