Hi Michel
This is because InfoPath cant connect to the lists without VPN, just as you cannot access them without logging on your company network.
Here are some links to offline solutions in IP:
http://blogs.msdn.com/infopath/archive/2004/03/17/91313.aspx
http://jelle.druyts.net/PermaLink.aspx?guid=79de2f23-4e00-4b5e-8001-395f2a6ba23d
Another less elegant solution would be to import the data from the lists as xml ressource files
hth