I'm not 100% sure that this doesn't work, I just know for the hour or so I spent attempting it, it seemed to not work easily.
I enabled a VPN and AVHD immediately stopped working. I attempted to resolve it by manually setting the port and using port forwarding on my router. This also didn't work. I'm guessing the last step I could have taken would have been to manually enter an IP address to connect to on the mobile device but that wouldn't be a good long-term solution.
Anyway, if this is a possibility, it would be much appreciated! Especially as privacy/VPNs are becoming more popular.