For example we have a VPN TCP transport connection through proxy. I wonder how is UDP emulated over this TCP connection? How its unreliable nature is emulated?
When transported through a TCP-based VPN tunnel, UDP packets are not emulated, they are encapsulated.
There is no need to emulate the "unreliable" nature of the the UDP packets. The phrase "unreliable" simply means that the UDP protocol does not check for successful delivery and therefore does not retransmit lost packets. An application, or higher-level protocol, using UDP must perform that checking and retransmission for itself if it is needed.
UDP packets passing through a TCP-based VPN tunnel will often do so for only a part of their total journey. In the portions of the total path that are outside the TCP-based VPN tunnel, packet loss may occur.