DR is all about balancing between availability and cost. Gateway's are only available in zonal redundancy. Should you decide that your VPN is mission critical, you would have to set up a seond gateway in your recovery geography.
Here is a short overview of Azure site recovery that could help explain your options.
Generally speaking * this is without understanding your specific requirements * VPN's are not regarded as so critical, because it could be replaced with a new VPN on the recovery site within minutes (assuming you have automated the process). If it were me, I would be more concerned about making sure I do not lose data or traffic while failing over to the DR.
Here are a couple of reference architectures you might find useful: