The request will be sent to that server, and the server will respond. In what part of all this process can the VPN can do anything?
If there is a firewall between the client and the server (which there should be), then no, the server will not respond.
The VPN jumps the firewall. When you set up the VPN service, you created firewall rules to allow the VPN traffic. Then when you have the VPN connected, all traffic to the destination network is tunneled through that one connection.