Background Information:

WSL Version: 2.1.5.0

Windows Version: 10.0.22631.3447

My Workarounds: I created a file named .wslconfig in the directory C:\Users\%USERPROFILE%\ and added the following lines:

[experimental]
autoProxy=true
dnsTunneling=true
networkingMode=mirrored

This configuration is necessary because DNS calls to the Windows host are blocked. For more detailed information, please visit this link. After adding these experimental features, my VPN connected successfully.

Hope these workarounds are helpful for anyone experiencing similar issues.