This used to be possible on older versions of Windows but now it is not possible to connect to a VPN until after one logs on, without some creative effort.
There are several ways to archive this but they all end up with a new icon on the pre logon screen so one can open a VPN to a remote Domain and then logon as a normal Domain PC or laptop.
Powershell is a good way to do this...
For example, to create an L2TP VPN connection with a shared key, use the command:
Add-VpnConnection -Name WorkVPN_L2TP -ServerAddress "vpn.woshub.com" -TunnelType L2TP -L2tpPsk "My1pre-SharedKey2" -Force -EncryptionLevel "Required" -AuthenticationMethod MSChapv2 -RememberCredential -AllUserConnection $true –PassThru
In this case, the -AllUserConnection $true option allows you to create a shared VPN connection that is available to all Windows users, including on the Windows login screen.
See here for more details.