Yes, it is recommended that you use a firewall in conjunction with the VPN you are using. It protects you from harmful attacks or applications that are malicious. However, VPN providers already have firewalls in place for their servers, so an attack is unlikely to affect your computer when connected to a VPN server, still, it is never wise to turn off your firewall when online.
There are two ways you can use your firewall with a VPN. The first would be to position the VPN in front or behind the firewall. Regardless of its location, it will not impact the way the firewall works, it will still block online traffic that is determined to be malicious.
If you choose not to operate your firewall when using a VPN, you should understand that you are, in essence, placing yourself at risk of attack. While a firewall at times may conflict with a VPN server, you only need to modify the firewall so that it will not block traffic that is being transferred over the VPN network. This is an easy task to complete and most VPN customer support teams are versed in being able to assist you in making those modifications.