Yep, like @CptnCrnch said it sounds like based on the configurations of RDP machine and VPN clients you are disconnecting yourself. I have had this happen myself although more often when trying to leverage both wired and wireless connection on a laptop I am RDP'd to.
Depending on the network configurations and what you have access to make changes to it is possible in theory to make it work. I have sometime managed to create a simple static route on the Windows machine to help by forcing specific traffic one way or another to prevent being disconnected.
Good luck.
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