Just added a VPN and Hey Siri isn’t working

Does Siri respond while the VPN is disabled?

No surprise. VPN breaks more things than it fixes. A VPN connection is totally unnecessary, and actually makes you less secure than you are without it. Click here for more information→Don't use VPN services. · GitHub

The reason it breaks Hey Siri, and probably also any banking apps you have or any other app where your location matters is because it “tunnels” your communications through the Internet to a remote location, so the physical location of your phone does not match the location of your Internet connection. And if that location, which you can’t control, is in another country your phone then follows the access rules of that country.