Is this a VPN for incoming or outgoing traffic? Running it as a VPN server to be able to get back to your lan or using it to cover your NAS traffic towards the outside)?
You could try and set the "multiple gateway" setting in Network > Advanced settings (button) on your NAS. This will not work depending on the type of VPN connection you are running with. If it's an outgoing one, then it might help, if it's an incoming one, then use the local IP address once you are connected and it should work just fine (if your VPN subnet has access to your LAN subnet that is).
Then again for some 3rd party VPN providers, it is common to not port forward on their end making access to your services on custom ports hard to reach.