how do I keep the VPN on?

Hi! Could you please clarify if you mean the built-in Mozilla VPN, or another external VPN connection on your device?

The OP is referring to the built-in VPN feature in Firefox for Android. https://support.mozilla.org/en-US/kb/mobile-android-vpn and not the standalone Mozilla VPN app.

From what I have seen, the ability to keep in built-in VPN on will be better in Firefox (for Android) 160.0 to be released in six days if in line with desktop Firefox.