I don't have a VPN, but the process is usually similar for all players.
1) You normally have to play the video and select CC so it's on.
2) Now you need to inspect the page. On Chrome it is Menu-More Tools - Developer Tools.
3) Now reload the page. Once it is loaded play the video.
4) On the developer tools, click Network.
5) In the filter, look for the subtitles files by searching "srt", "vtt", "dfxp". Generally, if you Right-click on it and open in new tab, it will download, but depending on the file format, the process is different.
Here you can find instructions in Spanish relating to other sites.https://www.reddit.com/r/Spanish/commen ... ish_shows/