TCP and UDP are the most widely used protocols to send data packets over the internet. The TCP protocols main focus is reliability whereas UDP focuses on speed.
TCP orders packets by numbering them and error checking them. Once a packet is received by the destination it then sends back a response to the sender to verify it has received it correctly.
UDP does not contain any error checking and just keeps sending data without the back and forth required for error checking making it much faster.
A VPN works by encrypting data being sent to you, which is already in the form of TCP or UDP packets. TCP over TCP is redundant and can add unnecessary overhead which can slow your connection down.
It is recommend to use UDP to connect to a VPN as this provides you with the fastest experience.
The main reason to use TCP over VPN is if you are behind a firewall and are unable to connect to the VPN. TCP connections to the VPN communicate on port 443 which is a standard port and will allow you to get through most firewalls.