Save a Copy is your option and it can be scripted to happen automatically. A backup utility can then make an additional backup of the saved copy if you want.
Your other option is to close the file on the host computer and then manually or with a 3rd party backup product make your backups.
This option will be greyed out if you are accessing the database as a client of a hosted file regardless of whether or not you are using VPN. I would guess that you have the file open with FileMaker Pro on the Host computer and you are then using the "open remote" option to acess the database from your VPN session.
You can get around this by running a script that uses Save A Copy As... on the Host machine. You can set up a "robot file" on the host machine that is opened by an OS based scheduling service such as Windows Task Manager to perform the script in your database on the host at a specified time such as once every evening after close of business.
This thread gives an example of a script that uses Save A Copy as to save copies of your database file, but you won't need the Install OnTimer Script portion if you are using the Robot File method: Saving Sequential Back Ups During Development
Many thanks ... VERY helpful answer. I owe ya ...