The website’s server sent an answer Cloudflare couldn’t use. Not you.
Cloudflare reached the website, but got an empty, unknown or malformed response back. Intermittent 520s usually pass within minutes. A constant 520 needs the owner.
Nothing on your side causes this. VPN, cookies and browser do not matter here.
Capture the raw origin response for a failing request (tcpdump or the origin’s access log). Check header sizes and cookie bloat; check that nothing between Cloudflare and the app resets connections.
Cloudflare’s documentation