First Officer reported at assigned altitude above MVA; on vectors in VFR conditions with terrain displayed; an aircraft GPWS was alerted resulted in a CFTT event.

Narrative

ATC issued up a vector for the visual rwy 24; we were level at 4000; clean configuration; and monitoring the RNAV. Captain queried ATC and told him that we have the field in site but wanted to get a vector to final around the terrain in the area (he was aware of issues regarding the GPWS in and around ROA because of the pages issued by the Company) both had terrain up on the MFD (Multi-function Flight Display) because it was clear skies. A few seconds after that message we had the GPWS Call out; and the Captain disconnected the autopilot and I asked ATC for higher. As soon as we started climbing the warnings; we were cleared for 5400; and no further issues with terrain.Suggestion: The Captain called ROA approach while we were on the ground and asked what their MVA was; its 3900. In the future I'd request 5400 as a minimum until on an established final or published segment of the approach; or see about getting routing to LYH or HOBOS to get on a published section of the approach before getting near the mountains terrain.