Eu encontrei minha resposta através deste post: link
Eu fiz o seguinte:
cd ~
mkdir .cisco
cd .cisco
wget https://gist.githubusercontent.com/l0ki000/56845c00fd2a0e76d688/raw/61fc41ac8aec53ae0f9f0dfbfa858c1740307de4/csd-wrapper.sh
chmod +x csd-wrapper.sh
Edite o arquivo com o servidor vpn:
CSD_HOSTNAME=vpnserver.com
Execute o arquivo
./csd-wrapper.sh
Execute o openconnect:
sudo openconnect --csd-user=YOURLINUXUSERNAME --csd-wrapper=/home/YOURLINUXUSERNAME/.cisco/csd-wrapper.sh vpnserver.com