Thanks for your suggestion. But it didnt entire worked.
Here is what I did
1. Added a new vnic to VMware and made int NAT.
2. Changed NAT adapter to allow 'VMwareBridge protocol' as you suggested in the screenshot.
After connecting to VMware and VPN on host. I disabled the Bridge adaptor and only has the NAT one.
Now the guest on Vmware connects to internet but only has access to certain sites like the host does (as VPN blocks most of the sites). But I want it to access everything outside of VPN.