The ASUS RT series of Routers are Wifi Routers only (no inbuilt modem), if you are looking for a Modem and Router combo, then there are ASUS DSL series, alas for VPN they generally are not suitable (lower cpu clock speed) than RT models which effects VPN speeds etc..
Separate modem and router is usually better as VPN’s can be tricky, what is your ISP speed and what’s the model of modem you have ??
If you do decide to opt for an ASUS RT router, then there is a third party firmware (ASUSWRT-Merlin) which I use for my VPN (ExpressVPN) with my RT-AC86U. it works well for my VPN requirements and is easy to set ups etc. This firmware is based on ASUSWRT but is a little more advanced and free 
In a completely sane world, madness is the only freedom (J.G.Ballard).
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