Atomic systems or rpm-ostree is an interesting concept and may well be the future of distributing linux, but it has a lot of compromises. It may not be the first place to start when leaving windows.
The problem is all the apps and things you may wish to do with your OS. Flatpak is the preferred method of installing apps as it doesn’t interfere with the OS, but that is a compromise that means more overhead for running apps including memory and disk space, and less integration with the host OS than traditional apps.
You can overlay native apps but the more you overlay onto the immutable os, the more complex upgrading gets and the risks of breaking stuff.
I’m not sure I would be starting with an immutable OS when switching away from windows. While it has a lot of theoretical benefits, its a work in progress and with significant compromises at the moment. Your VPN may just be the first of many programmes you find you need to overlay.
I personally would look at a more traditional install, get it working how you like and if you find Linux works as a permanent home then think about how you might recreate that with an immutable OS base. If your needs a re very simple then maybe it’ll be easy, but if you’re using lots of software and tools (particularly if its not available Flatpak) or custom OS config you may find atomic desktops are not yet quite ready for you.
It could be frustrating and off putting if you try linux immutable, find loads of problems and attribute that to linux when its actually the immutable OS that’s the cause.