If you want to see a specific category of socket activity: ss -ta dumps all TCP socket; ss -ua dumps all UDP sockets; ss -wa dumps all RAW sockets; ss -xa dumps all UNIX sockets; ss -4a dumps all ...

If your app is using bog-standard OpenVPN - or even some proprietary protocols, such as ExpressVPN's Lightway - you might find it gives you both UDP and TCP options. You may like The best VPN for ...