According to this thread this is standard for most users. But there is Jailbreak solution with external app called Insomnia. Insomnia is an iPhone native application that, when enabled, will prevent the iPhone from sleeping, thus overriding its default behavior. This allows background applications to continue to run and WiFi to work long after the screen has been switched off.

In addition, you will be see the VPN logo at top left of your iPad screen (or top right of your iPhone). Just to reiterate, if you are trying to connect to any other countries that we have servers in, please change the description accordingly (i.e. MPN USA to connect to USA ) and change the servername to be A full list of all our servers can be found on our in this Knowledge Base Best VPN Apps for iPhone and iPad in 2020 Dec 31, 2019 iPhone 5s: Everything you need to know! | iMore

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