I had the same question today. I found avast! SecureLine has this exact feature. The software has a 7 day free trial. After that, in-app purchase cost is either $2.59/mo or $19.99/yr. The fine print says the license is valid on all devices registered with your Google account. I've only had it running for a couple of hours but it seems to work just fine.
The HTC M8 factory installed VPN program "should" do this .. if you check the setting under "settings" "more" "VPN" Under menu "Always on VPN".BUT sadly it doesn't. I have been in contact with HTC an issues has been sent to upper level/escalations support for testing which told me yes it should work and they are looking in to it...but...they do not have a VPN network set up an will asap to test any try to figure out why it doesn't... Sadly that has been over a month ago.