Unable to cast to devices when connected to personal VPN

When I’m on the road, I access my PMS via a personal VPN (OpenVPN Connect). I simply open the OpenVPN app, connect, and then open Plex and I’m on. Without the VPN I can’t connect unless I manually add my phone’s current IP to my firewall as I have the incoming NAT rule locked down to a few specific IP’s and hostnames.

So this works fine, simply connecting my phone to the VPN and then accessing opening Plex and playing media. The issue that I’m having is if I then want to cast media to a casting device (chromecast, roku, etc.) that is on the same wireless network as my phone. I can connect to the casting device, but if I try to play media, it never gets cast and comes up with an error that it was unable to play.

Is there something going on behind the scenes with casting devices and Plex where these casting devices also need to have direct access to the PMS?

EDIT: It appears the connection is being handed off to the casting device and thus that device needs access to my server. That puts a damper in my plans. Damn.