If you've a iPhone XS or later it will have esim ability (with lots of esim slits available). If you're in a UK esim already, then all you have to do it's pick up a physical SIM on arrival. If not, seeing your provider will change you to esim, and then get a physical SIM in Thailand. If no time.then keep you UK physical SIM and get a Thai esim, although Im not sure if they offer that on prepay plans but I'm sure their websites will let you know
if you've found it's not helping you may have to look in the settings and actually tell it the apps you want to run through the VPN. I had that exact issue earlier when I thought I had it on for everything
there are some available in the app store. Others you can side load if you're technically proficient (or can follow YouTube videos). Some Vpns work better than others. I've been using surfshark for the last few years as I've found it to work pretty well, have an easy enough app and its pretty good value as you can use it on unlimited devices