Hi Laurier
I believe in some apps you can configure a VPN in the app settings, but if the app does not have an option for it, I am not sure if there is an easy way to do what you are describing.
A possible solution would be to put the app in its own user profile, with an Always-on VPN, and ensure that "Block connections without VPN" is on. Also, enabling the "Send notifications to current user" option (under Multiple users setting), would notify you if the app receives a notification.
VPN's are per user profile. A VPN in one user profile, does not affect other apps/network traffic, in another user profile.