Unable to use SSH server over VPN on Android 11

I had an old mobile phone with Android 8.x Oreo. In it, I was using "SSH/SFTP Server - Terminal " app to access my files on the phone through "WinSCP " in "Windows 10". I used to do that while a VPN connection with "UFO VPN " Android app is active on the mobile phone. Now, I bought a new mobile phone with Android 11, when I tried to do all the things above, WinSCP refused the connection over the VPN and I can only access the files without the VPN. I tried to solve the problem by using different SFTP server apps and VPN apps with no success. Any help will be appreciated, with a notice that I don't want to use a normal connection on my phone.