VPN-based SIM cards should work with the Electron or Boron. However: In order to connect to the Particle cloud, access need to be granted to the Particle servers from the VPN. You will probably also need to set APN and keep-alive. Also, technical support, SLAs, etc. are not provided for 3rd-party SIM cards.
If you want to run the device completely isolated, without Particle cloud support, you’d need to manually enable only IP-level cellular in SEMI_AUTOMATIC or MANUAL SYSTEM_MODE. You’d need to flash code only over USB and of course Particle.publish, Particle.subscribe, etc. would not work. You could, however, use TCP or UDP to hosts on the cellular VPN. TCPServer does not work because TCP listen is not supported in the u-blox modem. You can only establish outbound TCP connections from the Electron or Boron, regardless of whether you’re using a VPN or not.