If you are connected to a VPN outside of your network and you want to filter out websites, you need to place your router in the middle:
Your computer - Your router - VPN Server
Otherwise your router will only see data garbage and will not be able to filter out anything.
To understand what a VPN does, look at the following:
Without a VPN a normal connection looks like this (simplified)
- You (your computer) requests content from www.website.com
- Your router forwards a request from your internal IP to www.website.com
- www.website.com sends the requested data back to your router
- Your router sends the data to your internal IP
If you would want to block websites, your router would be able to block www.website.com because the router is able to deny or allow connections to www.website.com because the router is able to see where the connection is coming from and where it is supposed to go.
With a VPN however:
- Your computer connects to the VPN and encrypts the whole connection
- Your computer send an encrypted request to the VPN Server
- Your router forwards a request from your internal IP to the VPN Server.
The router does not know where you really want to go as the router can only see the VPN-Server in the initial request
If you would want to block certain websites you would need the router in the same network as otherwise the router would only see encrypted data.