Keep the laptop online
The laptop’s VPN has to work first, and the laptop must stay awake. If it sleeps, disconnects or you close the VPN app, your phone loses the connection too.
Make sure the devices can see each other
Both usually need the same Wi-Fi. Some hotels block devices from talking to each other — then sharing won’t work even if every setting is right.
Only on Wi-Fi you trust
Turn sharing on only when you need it and off afterwards. Some apps may ignore the shared connection.