I am also having the same issue where I can't access the Web UI if the VPN is turned on on both OpenVPN and Wireguard. I tried it using local IP and accessing it using reverse proxy to no avail. It might have something to do with the Unraid 7.0 update since I only encountered the issue after the upgrade.
What worked for me is to set the LAN_NETWORK variable to the subnet of my docker network.
With OpenVPN I can access it via IP and reverse proxy but with Wireguard I can only access it through the reverse proxy. Not 100% sure what's the cause but this works as a work around for me for the time being.