Hi Navin - this sounds like your corporate VPN is set up for split tunneling. Basically it means that any traffic that belongs to your organisation will be tunnelled down the VPN and any non-work traffic goes out to the normal internet via your router. Its a way of reducing corporate VPN traffic with everyone working from home.
Adobe campaign is set up to whitelist your office IP addresses (ie your VPN addresses) so you can either whitelist your home router IP address in the Campaign Control Panel (not recommended if you have a team because these home IP addresses can always change and is insecure) or you can have someone set up your work VPN correctly.
Adobe Campaign does not have any proxy configuration settings right now so you can't just tell it to use the proxy like normal applications. You need to ask whoever looks after your VPN to add a bunch of wildcard hosts to the PAC (proxy auto-config) file. This will instruct your network to direct any requests for Campaign resources down the VPN and not out to the internet.
These hosts will be like: the Adobe Campaign instance host names (e.g. *.adobe-campaign.com, *.campaign.adobe.com, etc), your external resource domain(s) and any image hosts you use in your emails. This will take a bit of investigative work to find these out, but Adobe support should be able to help you with all the Adobe-related hostnames. If you use SSO to login, you might also need the IMS domains added too. You can use tools like Fiddler to see what requests the application makes so you can have them added.