Since you need a VPN, here’s what I’d try in order:
Split tunneling in Astrill. If it’s available, exclude the Cursor process from the VPN tunnel. In Astrill it’s usually in Settings > App Filter or Split Tunnel.
Turn off Codebase Indexing. Cursor Settings (not VS Code settings) > Indexing & Docs > turn off Codebase Indexing. If you see Index Repositories for Instant Grep (BETA), turn that off too. Restart Cursor.