You could use ForceBindIP (oh yes you can!) and run your Steam+Xy.exe games using the following command from the command prompt:
C:\Windows\SysWOW64\ForceBindIP.exe 192.168.0.1 "C:\Steam+Xy.exe"
Note - you will need to change the IP address in the above command to be your normal default gateway and make sure the path to the application Steam+Xy.exe is correct.
This will ensure that traffic for your application bypasses the VPN and goes straight out through your default gateway and out onto the internet.
Simple modify your current shortcuts, whether they are in the Start Menu, the Programs folder or on your desktop to the above command for ease of use.