You either need to disconnect from VPN to transfer files using a transfer application such as WinSCP.
Or you need to upload your files to a cloud drive, then download them using a VM-resident browser. That may seem slow having to move files twice, but if later you need to download the same file again you not have to launch WinSCP.
This way you can transfer files disk-to-disk without worrying about IP addresses.
The last paragraph is worth reading:
If you have multiple virtual machines, you’ll need to set up file sharing separately inside each one, although you can use the same shared folders within multiple virtual machines. Be careful when using shared folders, though. One of the great things about virtual machines is that they operate in their own sandbox—isolated from your real computer. If your virtual machine becomes compromised, the malware could potentially escape your virtual machine by infecting files in your shared folders.
After giving the shared folder idea try, I decided to simply switch VirtualBox's network settings to Host Adapter mode when wanting to transfer files, then switch back to Bridged Adapter mode when needing to access the Internet.
I was starting from scratch a Lubuntu VirtualBox VDI (virtual disk image) download.
From there I downloaded the16.04 Xenial VDI. Then followed the directions from VirtualBox how to add the VDI to its Virtual Media Manager. Then created a new VM pointing it at the VDI. Looks scary at first since it says 500GB but in reality the file is 3.5GB.
The user name is osboxes. Password is osboxes.org. But for some reason the root password was not also osboxes.org which is what it says on their web site. Found the workaround at: https://www.osboxes.org/faqs/
Lubuntu does not support SFTP which is required to connect to it from your laptop using WinSCP. Install instructions below.