A cloud Virtual Private Network (VPN) is an essential infrastructure for tenants to connect their on-premise networks with a cloud network. However, tenants are often reluctant to adopt the cloud VPN because of security concerns, such as key disclosure, impersonation, and packet sniffing. Software Guard Extensions (SGX) is a good candidate to address the security concerns because it can create enclaves in the isolated memory (i.e., Enclave Page Cache (EPC)) to protect security-sensitive code and data from malicious access. In this paper, we propose EnclaveVPN, which supports a security-enhanced IPsec gateway using SGX with optimized EPC utilization and practical performance of the data plane. EnclaveVPN leverages enclaves to manage cryptographic keys and execute cryptographic operations for the IPsec gateway. EnclaveVPN allows only encrypted packets to be transmitted within and to/from the cloud network and presents features for optimizing EPC utilization and minimizing overhead in the data plane. We implemented a prototype on a real SGX v1.0 machine (Xeon E-2286M 2.40GHz 8-core CPU). The experiment and benchmark results showed that EnclaveVPN saved the EPC up to 62.5 and achieved approximately 87 of the data plane performance of the non-SGX IPsec gateway.