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Not natively, but you could use WireSockUI - https://github.com/wiresock/WireSockUI
Completely wrong solution to OPs case. Actually for Windows, TunnlTo https://github.com/TunnlTo/desktop-app which is based on WS, will be way better. What I suggested is a way to tunnel only apps that support SOCKS5, to route them thru the already connected VPN tunnel.
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