Your reply just raised so many questions but most importantly why would you need a VPN with Jellyfin? I mean it's just server like any other which means install, add certificates or reverse proxy with certificates and if you're behind NAT you would need to setup port forwarding.
I mean if you're worried about server being exploited if not updated then opening it to the internet wouldn't be good but isn't that the case with Plex already?
Enemy within.