I'm trying to capture an app's network traffic, the proxy option in the Android OS is not proxying everything the app is sending/receiving. Would it be possible to setup a VPN server and analyze all network traffic that is passing though my Android phone?
This is all you need. It is proxy attacking your application via man-in-the-middle attack and you can see everything application is sending/receiving. Bonus points it works when app is using HTTPS too. (By installing certificates on your device. It's super simple too :) ).