In this case it is a good idea to try to set APN with a good wifi connection (preferably no VPN involved) while you make these changes. AFAIK your device likes to check that your settings are on a database somewhere before the Save is allowed. Alternatively if your new settings are not a match, it can be expected they will not Save.
I always like to just phone the carrier to auto send the APN, 
Two similar posts in case it does not work first time.