That looks like something is intercepting your connections to GitHub. It’s hard to say exactly what from just the screenshot, but apparently the VPN gets around whatever it is. The interceptor certificate doesn’t even try to pretend it’s from GitHub, that makes me suspect it’s more likely a buggy or misconfigured proxy/firewall/antivirus rather than malware, but I’m afraid you’ll have to investigate that some more.
I can’t help but notice there’s an “Adding a Root Certificate” tab open in the background, please don’t do that in an attempt to solve this problem. You’d be opening yourself to all sorts of security issues (including but not limited to stealing your private data that should be protected by encryption). The one exception is if there is a device/software you want to intercept your connections, but unless it’s temporarily for research I advise strongly against using such a thing.