It seems like Docker is caching the host's /etc/resolv.conf as it was when docker started up. So I restarted Docker after connecting to the VPN and now containers are able to resolve hosts that are in m company's DNS.
If you are developing on Ubuntu, you will need to use "--net=host" to work behind the VPN, such as this:
docker run --rm \
-v ${PWD}:/home \
-it \
--net=host \
mruckman/selenium_python:212301 /bin/bash
