Use iptables to create a VPN killswitch to protect against data leaks.

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If you’re connected to a VPN, you need a killswitch. No, it’s not as metal as it sounds. It’s just a mechanism that stops your Internet connection when you’re disconnected from the VPN. It protects you from inadvertently leaking sensitive information onto the Internet when the VPN connection drops.

Source: How To Create A VPN Killswitch Using Iptables on Linux – LinuxConfig.org