We've moved your post to the Help Boards, as it's not an Idea for a new feature.
Currently the Spotify service as a whole doesn't suppose the use of VPN. This is because the Spotify library, certain app features and Premium plan prices vary between countries and regions due to local regulations, and we can't support services that can be used to alter your IP address.
Most likely your VPN is blocking access to some networking port required by the web played to sync data with the servers, so we'd suggest looking into that. Note that we can't guarantee that the web player or desktop app would work as expected when using a VPN.
Hope this info helps.
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