Hi kathyfromlynchburg,
Your iPhone does not have a built-in VPN installed, but does have access to set up a Virtual Private Network, which is what you see in the Settings. Your internet provider may use a VPN to connect to the internet at certain times and it may be necessary to connect to the VPN to get network access depending on the area.
This resource helps explain how they work:
Check VPN (Virtual Private Network) and third-party software to help resolve network connectivity issues - Apple Support
We also recommend restarting your device and keeping it updated as those steps assure you have cleared out any minor software issues and are running the most current version.
Restart your iPhone - Apple Support
Update your iPhone or iPad - Apple Support
If you still have questions, reach out to your internet provider for further clarification.
Cheers!