Okay. I tried JB90's solution for my RT-N66U running TomatoUSB. No luck there because I was routing Amazon EC2 IP Addresses and apparently the plex.tv website uses Amazon IP Addresses.
I have been trying to achieve Plex not running on the VPN and I think i might have a temporary workaround.
You first have to deactivate your VPN, and make sure Plex is running.
Now Connect to MyPlex and once that is done, go to http://plex.tv/pms/:/ip and copy down your WAN IP.
Now, here comes the interesting part. You need either Nginx if you're on Linux, UniServer if you're on Windows or MAMP if you're on OS X.
What we wanna do now is that we wanna recreate the WAN IP Request page above and emulate that function and it's really simple since it's only returning an IP Address.
You gotta make the relevant directories inside your http folder serving the index.html. You will need to create the index.html with just your WAN IP in it. Nothing else.
Edit the /etc/hosts file and point plex.tv to your local ip address. Turn on the webserver and your plex media server should continue to work until you shut it down.
You can also turn on the VPN now.
This only works because it seems like the Plex Media Server is storing the IP somewhere locally on the OS itself and once it is stored, it only compares to the stored IP and if the request from plex.tv/pms/:/ip matches then it doesn't care to update your myplex configuration on the main site.
I'll post more detailed instructions for more clarification if this is hard for you to follow. Spend the past 6hours looking at logs and trying to get this to work. Tired.
I'm seeing if there's a better way of doing this, something like rewriting the html response by running a squid transparent proxy or something but I think this is the best workaround for now.
EDIT: I also should mention that this workaround is intended for people who are running their plex media server 24/7. You also wouldn't be able to connect to plex.tv on the server that you edited the hosts file. It's gonna be a pain in the ass to keep redoing these steps every single time you want to start plex media server.