Use aspas simples para a mensagem assim:
ssh user@host "zenity --warning --width=500 --no-wrap --text='Your $VPN is not connected. Please connect it or inform to engineer' --display=:0"
Ou escapa as aspas duplas da mensagem assim:
ssh user@host "zenity --warning --width=500 --no-wrap --text=\"Your $VPN is not connected. Please connect it or inform to engineer\" --display=:0"