The iPhone doesn't have this. In fact it has no VPN support at all.
iPhone does have VPN support.
http://www.apple.com/iphone/questionsandanswers.html
What kind of security features does iPhone offer?
You can protect access to information on your iPhone with a four-digit password, which is then required whenever iPhone is turned on or wakes from sleep. For secure Internet access, iPhone supports industry-standard Wi-Fi security and virtual private networking (VPN).