How do I run a virus scan on my MacBook Pro?

Remove the VPN, restart, and test again. Remove the VPN app entirely, as disabling VPN apps isn't always reliable.

Outside of cases involving geo-shifting and CDN testing and such, "pinky promise" VPNs badly solve a problem that hasn't existed for a decade or more, but badly solve it in a way nearly perfect for personally-identified data and metadata collection.

Your use of "virus" implies there might also be other potentially-problematic add-on security apps, VPN apps, cleaner apps, or such. Best remove those to test, too.

PS: macOS includes built-in anti-malware and related detection and scanning and blocking, as well as implementation details such as a read-only file system used for storing macOS itself.

Please provide some background, and please describe the symptoms of "acting funny" you are encountering.