It is important to read the terms and conditions of a gambling website first before actually making a move that could get you into a difficult situation. Reading their TOS to check whether they allow the usage of VPN will save you from future trouble because as we all know, not every casino or gambling website are very much lenient when it comes to the said topic. Some outright prohibits its usage, hence, if caught using one, a severe and irrevocable punishment is given such as permanent banning of your account.
If ever you want to really use a VPN because the gambling site that you want to play on isn't available on your country, then check their policies first to know if it's illegal to them or you can use it, but with reservations. Because if you won't do so and just play impulsively without knowing their rules, you are letting your money be easily snatched away from you.
In addition, if we want to use a VPN, we can first ask the casino if it is allowed or prohibited and if it is prohibited, we can look for a casino site that allows the use of a VPN.