Can you save other documents to your Z drive? Could it be some sort of security issue on the drive when you are connected via VPN? Do you get any specific errors in Tableau?
I've worked in the opposite direction (publishing .twbx on remote servers) but I am figuring that it might just be internet latency that is tripping your load processes.
Have you tried manually transferring the file to a local drive before starting your extract refresh ? At minimum this will tell you if it was a latency issue or something deeper.