Whether you can access your Shelly via VPN depends on which utility you want to access.
As of today (12.09.2019) it looks like this:
via browser you can access the UI.
via Shelly APP you can access Shelly, which are assigned to the cloud. Devices in "local" mode can not be addressed.
- via ShellyHome app, the devices are fully accessible, so even in "local" mode