Because not all domains come from Amazon so you would need to exclude every single domain that is being served. The VPN providers also have assigned IPs that can be flagged by Amazon and other streaming services that they are indeed VPN IPs.
On the Fire TV you should be able to install the Nord VPN app directly and then do what's called split tunneling. This will then allow you bypass the VPN for Amazon etc. As you have found out, trying to “split tunnel” via domain isn't easy, the only way to achieve what you are doing is to keep turning the VPN off when you want to access the features unless you go the app installation route.
Check this thread too where I also explain