Vpn acronym for virtual private network. There is your answer right there. It is not application specific it is network specific meaning your computer network. Chrome has nothing to do with VPN (unless you are connecting to a resource within your domain) as you are connecting to the www (world wide) not a private network.
I am trying to use a proxy to connect to the SQL database so that I don't have to connect to the rest of the internet via the proxy which overloads the connection and creates problems with skype etc.