I received this pop up today while searching a website. I did not click OK. I turned my phone off then on and closed the screen. Based on the web address, I assume this is a fraud pop-up.

You are correct, it a "fraudulent" attempt to get you to download a scam VPN App. Your actions were totally, correct and you can stop worrying about any problems with your iPhone.

reba262 Said:

"I received this pop up today while searching a website. I did not click OK. I turned my phone off then on and closed the screen. Based on the web address, I assume this is a fraud pop-up."

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Report this to Apple:

I recommend you send this screenshot to Apple, letting them know what has happened here. Add it as an attachment, letting them know the names of the attachment. Give them a good explanation about this (how you came across it), and provide the link to this post: https://discussions.apple.com/thread/252360292