Generally, network configuration is outside of VisualGDB’s control and hence the help we can provide here is very limited.
If you are comfortable configuring the VPN, we would advise setting up OpenVPN on one of the machines, and joining the other one to it. If not, please consider using one of the cloud-based VPN services, and connecting both computers to that VPN. This would have the same effect as physically putting them on the same network.