As of 9/5/2018, Duo authentication is required for all logins to Research Computing systems. For some activities, such as scp this can mean multiple Duo exchanges.
If you have an account on one of the large clusters then a second approach is to modify your ~/.ssh/config file to use a proxyjump server to enable a multiplexed connection. This approach does not require a VPN.
Learn how to create SSH keys for password-less logins on the HPC clusters.