I have no experience blocking opera's VPN however I found this:
https://superuser.com/questions/1254088/is-there-are-way-to-possible-block-opera-vpn-option
It seems like blocking the following domains in url filtering should do the trick:
api.surfeasy.com
de0.opera-proxy.net
api.sec-tunnel.com
sitecheck2.opera.com
opera-mini.net
It may take a while before the current connections time out, so when testing, I'd flush the DNS cache on the PC and in Opera: browser://net-internals/#dns .