Cloudflare can’t find the website’s server address. Not you.
The website’s DNS at Cloudflare has no working record for its server. If the owner just changed DNS it can settle in minutes. Otherwise it needs a fix.
Nothing on your side causes this. VPN, cookies and browser do not matter here.
Add or fix the origin DNS record; check CNAME targets resolve; check load balancer origin health.
Cloudflare’s documentation