Many Russian services, banks, government portals and marketplaces among them, restrict access from foreign addresses. While the VPN is on they see a foreign IP and may refuse to open, drop the session or ask for extra confirmation. There is one answer: keep their traffic off the VPN.
Traffic splitting already happens on the subscription's side and in the recommended apps: some addresses go direct, past the VPN. So many Russian sites and apps open even with the connection on. Start by simply opening the service you need; you may have nothing to configure.
The most reliable move when a service still refuses. Turn the VPN off, go into the bank or the government portal, finish what you are doing, turn it back on. There is no need to refresh the subscription afterwards.
If you only need the VPN for particular sites, install the extension instead of a system client: only the browser goes through it, while the rest of the programs on the computer work directly. Guides are on the setup page.
If only Telegram is restricted and the rest of the internet suits you, there is a personal Telegram proxy on MTProto: entry in Moscow, exit abroad. Only Telegram goes through it, and the rest of the phone's traffic stays ordinary. How to turn it on is in Personal Telegram proxy.
That is heavy-restriction mode, where only permitted resources are reachable. For those stretches there is the Free carrier bypass page with public configurations. It is a fallback while the restrictions last, not a replacement for your subscription.