@"vont", IcyScroll and MrLinux thank you for your reply.
I guess I don't have a choice but to use another VPN client like IVPN.
What I don't understand and maybe you can help me with that is when I installed the app from NordVPN it automatically created a VPN in the settings of Graphene OS.
Today I tried OpenVPN and followed the directions on internet and from NordVPN and then it should work. But it does not. In the settings of Graphene OS I don't find a VPN client for OpenVPN.
Am I doing something wrong?