Not that I know of. However, I too have to connect to a domain through a VPN client.
Setup the domain while logged into the VPN client. Then, whenever you login to your ocmputer (after a restart, etc.) log in as your domain user. You should be able to login without being connected to the VPN client. Then, once Windows has loaded, log in to your VPN client and use the program that you need. It should work.