Since Xiaomi didn't include the option although Android 9 supports it and most DNS changer apps work like VPN here is an app that helps

https://play.google.com/store/apps/details?id=com.ceyhan.sets

1. Open the app
2. Select Private DNS
3. Select the last option "Private DNS"
4. Set the DNS of your choice

Done. Now you can have a Private DNS and VPN at the same time.