on your MacOS, when you connect with a VPN and turn on NoMachine, you won’t see computers with NoMachine installed, as you do on your local network, mDNS doesn’t work over VPN. Computers with NoMachine installed from a network connected via VPN have no way to send information that they are ready to connect. In this case, they will not automatically appear in the NoMachine list as ready for connection.
In the attachment, the address you are trying to connect to is blurred, is it really a local address from the network you connect to via VPN?
To connect you will need the local IP address of the computer you want to connect to.
Try to connect via NoMachine to this IP address with the VPN enabled.