Some time has passed since I posted on January 10 that I still did receive an e-mail verification code. That is no longer an option. I just spent a wasted hour on the phone with them and basically, they are insisting on a US number, etc. I find these places ask invasive question that go beyond security for the customer, such as "when are you coming back to the US". Gee, since when am I accountable to a financial institution? I also find it incredibly presumptuous that they call you by your first name as though we are friends. Oh, and they think Mexico is overseas....really!
I will not answer those ridiculous personal about my travel and what do I have in the US.. My travel plans and activities are none of their business. Anyway, after a wasted hour, I just temporarily disabled the VPN just as Computer Guy said. I actually did know about this method, I just did not want to use it. It does work.