Hi Johnny,
There are many reports on the WEB about Copilot not working with VPN.
I'm not even going to try with VPN.
MS already blocked me from receiving insider ISOs when I tried with VPN, I was just trying to reproduce an issue reported by another user.
After that, my account is still blocked several weeks later, even if I removed the original cause of the problem. 😝🤬
Looks like they want to know the exact location to avoid these problems.