Protonvpn has a browser app where you can turn it on so it works on your browser traffic but not the rest of the network ( e.g. steam ). I haven’t tried it much so I can’t say how well it works or how stable it is.
The problem with downloading over http is that if it fails you’ll usually need to start over completely. And that sucks if you’re pulling in big files like… Linux ISO images.
If you’re downloading a lot over http I’d suggest finding a download manager. Those usually have some kind of resume download functionality.
Perhaps there is one that allows binding to the VPN interface?