Don’t you have a PCIe slot that you can use for an NVMe adapter.

Must the server be off VPN, or do I have to make some special adjustment somewhere because my LAN Server is on a VPN?

When you use a VPN service to reach the internet it makes the VPN a second WAN connection. It can cause problems if you don’t know what you are doing. You’ll probably need to use policy based routing (PBR) if you want to use the regular WAN (for incoming connections for the server) at the same time you want to use the VPN.