A VPN wraps your traffic in an encrypted tunnel to a server, then lets it out onto the internet. If the tunnel can't form, nothing connects; if it forms but the exit is broken, you stay connected yet nothing loads.
Servers get busy or get blocked. A single server may be offline or throttled by a network, so simply switching to another location often fixes the connection.
Logins go stale too. If your subscription lapsed or the app logged you out, every connection attempt fails at the authentication step.