I’m not familiar with protonVPN so can’t be certain why it doesn’t work correctly when connecting to Kee Vault but hopefully the suggestions below will help.
If you are able to inspect the Network tab in your web browser’s Developer tools window, this information may provide you or us some idea about the exact problem that Kee Vault is encountering. The “app logs” from within Kee Vault (or even better, the Console output from the browser’s developer tools window) could also provide us with some clues. Most likely though, this will just show that the web browser is not able to connect to Kee Vault, which we can already infer from the original problem!
Did you have to install anything onto your computer in order to make ProtonVPN work? If so, it’s possible that it is intercepting some of the communications from your web browser and thus causing a security problem that causes Kee Vault to abort.
Another possibility is that their VPN exit points are significant sources of abuse on the wider internet and thus their service suffers from poor connectivity to Kee Vault’s infrastructure providers such as Cloudflare and Amazon. If you can change any settings relating to where your traffic rejoins the wider internet, you might be able to narrow down the cause of the problem.