Hi there,
Just to let people know, if anyone looks for an answer. I don't
know if you managed to solve this, but TuneBlade's AirPlay is ran
through the Bonjour service, usually installed by iTunes but in this
case managed by TuneBlade. The executable that runs this is "mDNSResponder.exe", located in "C:\Program Files (x86)\Bonjour". You can use your VPN's split tunneling feature to prevent this service to go through the VPN, and TuneBlade's AirPlay should now work again.