Hi. I'd like to check if Hostony supports VPN connection to an external server for the transfer of data. If so, what kind of support is provided and how can I set up such a connection? Thanks.

Unfortunately we don't support it

Thanks. But is there any alternative method by which I can set up a VPN connection between the web server and an external server? I would like to transfer information between my web application and the external server.

Unfortunately no.
It can't be done.