I know this is a bit controversial, but some casinos are looking the other way... when people are using VPNs. I know it might be legal in some instances, but you are still taking a risk by using it.
The only risk is when a casino does not allow it but you should be careful cause casinos terms can change from allowing the use of VPN to prohibiting their users from using it
Online gambling is legal in my country, but sometimes I have to travel to a country where it is illegal. I then use a VPN to be able to access the site. This is one of the reasons why some casinos allow people to use VPNs..... but you are still taking a huge risk.
All concerns about the use of VPN when traveling should be on record with support if you failed to do this, you have no defense to present when they disable your account.
Now, the question is.... Will you still use a VPN, if it is not allowed by the ToS on the site. What will you do if they "block" your account and take your balance?
Definitely not, I have seen a huge amount of money coming from players and they cannot withdraw it because of a violation of the use of a VPN, if they do not allow it, refrain from using a VPN, and control yourself so you can protect your account.