Connection Fail-over, Load Balancing, Further Ping Reduction and Possible Strategies
The idea would be to have a feature which improves reliability, speed and game latency. In order to make this possible, the app should identify whether multiple internet connections are available.
For UDP streams, it should prioritize packets through the connection which provides the lowest latency to the VPN server. At the same time, reliability could be put in place by detecting any latency spikes or downtime and route packets to an alternative network connection on the criteria that it gives lower latency or a connection at all.
If one network connection is congested, you will also have the option to balance packets through the other network connection.
This would also give you the option to route TCP traffic to network connections which are not being utilized due to their high latency during gaming. A range of techniques could be implemented to bring further improvements to your software for power users.