Android is closing the app in the background

Android aggressively stops background apps to save power, and that can end a VPN session while you are not looking. Open your device settings, find this app under Apps, and set its battery option to Unrestricted (the wording differs per manufacturer — Samsung, Xiaomi, Huawei and OnePlus each phrase it differently). Also make sure the app is not in any 'sleeping' or 'restricted' list. After changing this, connect again and the session should survive the screen going off.