VPN Connection Inside Remote Desktop Session Host

Hello

Has anyone had any success getting a VPN connection working for 2-3 users simultaneously inside a Remote Desktop session?

I’m trying to achieve this with Server 2016 functioning as Remote Desktop Session host.

I’ve tried using OpenVPN which works perfectly, but once connected every user is under that IP address of the VPN Connection

Similar with the built in Windows VPN client

I thought this could be done isolated as they use a virtual adaptor to make the connection.

Is there anyway to keep a user contained with the IP of there established VPN without affecting everyone else? (While still keeping the public IP address allocated by the VPN)

Thanks