Using different network connections between host and guest

Sorry if this is covered elsewhere. I searched extensively, but didn't find a thread where this is directly covered. Is the following scenario possible, and if so, any tips on how to configure?

MacBook connected to a Thunderbolt display.
Use the Thunderbolt display's ethernet connection for the host to connect to a local domain.
Use the MacBook's wireless adapter for the VM to connect to a publicly-available wireless network to establish VPN elsewhere.

Any configuration help appreciated!