Greetings,
If you are looking for VPN authentication to use FTPS service in AppService instead of provided FTP hostname then this feature is not yet available. As of now Azure offers two methods of authentication say,
1.App credentials
2.User credentials
I would recommend you post this feature request in this feedback section and upvote for the same for its future availability.
Please do not forget to "Accept the answer" wherever the information provided helps you to help others in the community.