How do I put a shortcut for a VPN on the desktop of a MacBook Air?

The VPN icon sits in the MenuBar, it's not an application, so alias won't work.

SysPrefs > Network > VPN > Check the box that says show in Menubar

You cannot alias any item in System Preferences. You should have been more precise in describing what you wanted to do. What VPN software are you using? Does it also display a menubar item in the screen's menubar? The more information you can provide the easier it will be to help.

Select the item then hold down the Command and Option keys while dragging the icon from its location to the Desktop, then release the keys. Alternatively, select the item and CTRL- or RIGHT-click and select Make Alias from the context menu. This method creates the alias in the same directory as the real file. You can then drag it wherever you want it or Copy and Paste it. Afterwards you can delete the alias from the original folder.

Here are some helpful links: Switch 101- On Windows, I used to..., Switch 101- Windows vs. Mac navigation, Switch 101- Migrate your Windows files or system to your Mac, Apple - Support - Switch 101, Apple - Support - Mac 101.

What if it does not have a menubar item? What you refer to is a VPN created in Network. That is not always the case with services that use their own proprietary software. Personally, I use SaturnVPN which is entirely configured and operated via a VPN configuration in Network preferences. But I've used several others that do not. For example, HotSpot Shield.

The VPN configuration in Network preferences is only present if you create a new entry for a VPN. Until you do that it is not a selectable item as is implied in your description.