Here is what is happening with your iPhone. It is your VPN app that is not working correctly with iOS 14.0.1. You stated that you can connect to the internet with WiFi or Cellular without VPN. The issue here, therefore, is the VPN. Contact the developer of that VPN app to make it compliant and work with iOS 14.0.1.
On a personal opinion note, VPN does not really do anything to provide security. It simply masks your IP address with another one. The data transfer is the same because it neither filters nor prevents any corrupt data to reach your device. It just masks your IP address to give you limited privacy.
Axel F.