Do I need to download the pkg again, or is this some kind of fatal error?
sudo pacman -U vpnxxx-latest-amd64-arch.tar.gz
loading packages…
error: missing package metadata in vpnxxx-latest-amd64-arch.tar.gz
error: ‘vpnxxx-latest-amd64-arch.tar.gz’: invalid or corrupted package
That is not a Manjaro package, nor an AUR package. It isn’t even in any recent package format for Arch-based distributions, which is .tar.zst.
Without more information, we don’t know where that package came from, or which VPN implementation it’s supposed to be, but chances are that there’s an official Manjaro package or an AUR package that already offers the same functionality.
This looks like a source tar ball and not some kind of installable package.
Without more context, there nothing anyone can help you with.