Any session can be set up to use entries of various types as its VPN definition. The benefit of doing so is to share your VPN settings with multiple sessions and manage them in one place.
After choosing your desired option from the Open drop-down menu, simply select the value Existing - Session in the VPN type combo box.
Existing Session VPN Type
The Settings tab will now allow you to select an existing entry from the Session drop-down.
VPN/SSH/Gateway - Settings
Only SSH, VPN, Web or command line session type can be selected in the drop-down.