My point is people even allowed countries are using VPN for the sake of privacy but they don't know what are the issues they will face for this mistake. When someone uses VPN they may connect to gambling site which already used by someone in the past which will trigger the security system as multiple accounts.
I don't think a gambling site if allows VPN usage will only rely on IP address to make judgement on multiple accounts. Owners of multiple accounts will have more connected things, not only IP address or device information. They will have same betting style, in same tournaments and more.
Gambling sites will collect all those data and make their judgements on multi account abusers.
I do think that it will happen if you use free VPN only, but it wont happen if you use premium paid VPN. Its been few years for me using VPN in various gambling sites but I never faced any problems with my accounts. As long as the sites does not prohibit me to use VPN and as long as I do not do something against the terms/rules then I'll use VPN without any worries.
Gambling sites are not all give allowance to use VPN so if you don't want to get troubles, read their FAQs, Terms of service and if you are still not sure, ask their support. It is for the sake of your account safety.