There are some prerequisites for deploying always-on VPN. You can refer to the screenshot below from Microsoft official documentation.
> Is it possible to run Microsoft Always-On VPN on Windows Server 2016 core?
Do you mean that you want to configure Windows Server 2016 core as the Remote Access(VPN) server?
If yes, there are also some prerequisites for configuring a VPN server. You can refer to the screenshot below:
You could first install RRAS role with PowerShell command on server core and then use remote access management console on other computer to configure and enable the routing feature. Once connected successfully, you can choose Configure and Enable Routing and Remote Access to launch the configuration wizard.
For more information about how to install and configure Route and Remote Access Service on Server Core, you can refer to the following link:
Install and Configure Route and Remote Access Service on Server Core (Please Note: Since the web site is not hosted by Microsoft, the link may change without notice. Microsoft does not guarantee the accuracy of this information.)
Then, you also need to configure other servers and client to make always-on VPN deployment. The following links introduce how to make always-on deployment.
Always On VPN deployment for Windows Server and Windows 10
Plan the Always On VPN deployment
If you have anything unclear, please feel free to let me know.