How can I see what devices connect to what websites?

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Firstly your local jurisdiction may or may not allow you to do this.

Your question is mostly off-topic for the site, Wireshark is a precision microscope for investigating things of interest, not a general network tool.

To capture the general info you need some sort of network traffic monitor using information from the router(s) in your network. This can mostly be done using free software, if the hardware is capable.

To inspect traffic inside a VPN, or other secure transport mechanism, such as HTTPS, is known as interception and there are many "firewall" type products that allow this and can report on the content. Expect this to cost money and again may or may not be legal in your environment.

You need a commercial grade router; such as pfSense or Mikrotik so, you can see connection state.

As to the VPN, remember it's encrypt and require a pass phrase for traffic to enter.