The IP address should be what is actually seen by Zend Server over the network, not what you get from ipconfig.
You can run netstat command on green screen, take option 3, locate the entry for telnet (port 23), the Remote Address would be what you need. Or, simply type "what is my ip" on Google.
Make sure that address is listed among Allowed Zend Studio Clients for Debugging in Zend Server admin page (under the Server Setup/Debugger).
Also, checking Enable Tunneling in PHP Server settings in Zend Studio might be helpful.
Finally, without claiming any experience debugging over VPN, in my particular case my PC sits behind the firewall. I was only able to get the debugger working after getting the firewall lifted. Apparently, the firewall spits out the IP addresses Zend Server is unable to penetrate when it needs to talk back to client host in debug mode.