It seems that the magic search phrase is called "Split-Tunneling"
My VPN is able to do it.
Discussion
Yeah. I can exclude apps from using the vpn but that just means I have to go through and exclude every app except the ones I want. I wish there was an include option instead of just exclude
The second feature you should look for is called "kill-switch" that means that you can prevent all traffic that's not routed through a VPN app.