ex.: "C:\Program Files\Opera\launcher.exe" --private

Here is 1 way ya can do this..

Make 2 shortcuts.. and keep both

example 1 - make (1st Shortcut) as usual "C:\Program Files\Opera\launcher.exe"

example 2 - make (2nd Shortcut) for private mode "C:\Program Files\Opera\launcher.exe" --private

now do step 1 then step 2

Step 1 Open Opera with the (1st Shortcut) enable vpn - then close opera..

Step 2 now open opera with (2nd Shortcut) and vpn will always be enabled..

Note - if ya ever do turn off vpn in step 1.. then do step 1 again.. to keep vpn enabled always in the private mode..