What data is sent and recieved between a hotspot and a connected device?

If a laptop is connected to a phone via Wi-Fi and that phone is being used as a hotspot, then what data is being sent and recieved between those two devices? If I was using a VPN on the laptop and phone, then would that data be protected? Is the connection between the devices in question different than if I were to use the phone to connect to the internet without hotspot, i.e, the connection between the phone and the ISP?