VPN Authentication with New iPHONE
I saw that many had a similar issue and there was no response that helped.
Problem: VPN Authentication message appears and cannot be Canceled nor do I have the Authentication code.
Solved: You have to be quick. Hit cancel or put anything in and hit OK. Quickly bring up the Control Center (new iPhone swipe from the top right corner. Old iPhone double click the home button) and choose Airplane mode. Then go to Settings - General - VPN you should see a VPN service (i.e. Nord). Click on the VPN service and turn off "Connect on Demand." Then turn off Airplane mode and find your VPN App, type in your VPN user name and password and it will set VPN up again for you.
This happens when you move your settings from 1 phone to another. Your new phone is trying to automatically connect, but your VPN service hasn't been signed into on the new phone yet.
Hope this helps.