Two-Factor Authentication with VPN?

I recently enabled Two-Factor Authentication for my iCloud account. However, I connect to a VPN periodically.

Obviously there's some trouble like when I start getting notifications asking to confirm I'm using a "new device" in Canada or wherever.

So I'm curious what issues this might cause & if there are any good ways around them? (For example, I've been having some issues with Messages between my Macbook & iPhone).

Note: With my VPN, I can specify routes (IP addresses) to go outside the VPN tunnel. So are there some Apple IP's for Apple 2-factor authentication or location services? I could try that.