I have just signed up for VPN service this week and i have been having the same problem. I use it to go on Netflix and Pandora from out of the country. I have been playing around to see if i can get the VPN to stay connected. So far, I found a solution that has been working for about an hour or so now.
I have a jailbroken iPhone 4 and i have installed
Backgrounder from the Cydia store, which keeps programs running even when closed or when the screen is off.
After installing this, I installed Pandora from the App Store and after launching it, I held down the
Home button to background it.
So far, it seems to be working because Pandora uses my connection and if i keep it in the background, it will prevent the VPN from disconnecting.
I have only been using it for a couple of hours, so I'm not sure how good of a permanent solution it will be.