Why not to setup a Linux VM in your LAN to act as an internal router?
You could install an app from VPN provider on Linux or configure OpenVPN to manage the traffic - then connect to VPN Service Provider.
Then you could use Linux as a Gateway on all other systems within the Lan. Or simply change DHCP settings on UTM or other server, to point to Linux VPN internal router.
Setup:
Client -> Linux with VPN -> Sophos UTM - this way traffic from your Client would be encapsulated in VPN connection established by Linux with VPN.
Why not to setup a Linux VM in your LAN to act as an internal router?
You could install an app from VPN provider on Linux or configure OpenVPN to manage the traffic - then connect to VPN Service Provider.
Then you could use Linux as a Gateway on all other systems within the Lan. Or simply change DHCP settings on UTM or other server, to point to Linux VPN internal router.
Setup:
Client -> Linux with VPN -> Sophos UTM - this way traffic from your Client would be encapsulated in VPN connection established by Linux with VPN.