This would only be applicable with Browser based forms. otherwise the client is always making the connections to the data. Even with a UDC the connection is still from the form, on the client to the data source. In your case, either the cleints would need to establish the VPN first or you would need to move your data base so that it is accessible directly.
Using web services might make this easier. Then you could put the webservices on the Sharepoint site, i am assuming Sharepoint is accessible without the VPN. You might want to investigate Qdabra's web services suite. it would allow you to install the web services you need. Web Services give you the greatest functionality and performance.