VPN by itself is not more secure than connection without it. In many cases it can be more insecure, either because the user does not know to use them securely or the VPN provider is not secure and fully trusted.
From the description it looks like you are using both the normal connection and VPN so to Blizzard it will look like you are connecting from two different locations in almost same time. So Blizzard smartly locks your account.
Either use the trusted VPN properly or don’t use VPN at all if you don’t know how to use them.