[Faz33]

Yes, but is there any way to make it work?  

Not as far as I know... that is just the way bulbs work. you can't control them if your PC is on a different network (that is why it is called LAN control in Yeelight app)  

But, my PC is in the same LAN as my bulbs, they have the same 192.168.1.x address and i can get to all my other devices in the LAN when my vpn is on from the pc where the vpn is at. Isn't that strange?

Stop the firewall it was my issue