Technically often yes, but it breaches the terms of every licensed operator and is grounds for confiscating your balance. Geographic restrictions exist because of licensing law, and operators detect VPN use routinely.
The short answer
Do not. Not because of the technology, but because of what happens at withdrawal.
Why operators restrict by country
A licence authorises an operator to serve specific markets. Serving a country it is not licensed for exposes the operator to enforcement in that country. Geo-blocking is compliance, not commercial preference, which is why operators enforce it strictly rather than looking the other way.
What happens in practice
The block often does not appear at signup. It appears at withdrawal, when identity verification reveals that your documents show a country the operator cannot serve. At that point the account is closed. Deposits are usually returned; winnings usually are not, and the terms you accepted permit exactly that.
Operators detect VPNs through datacentre IP ranges, timezone and language mismatches, payment method country, and the address on your verification documents. The last one is decisive and cannot be worked around, because a real document has to match a real address.
You have no route to complain
If you breached the terms to open the account, the regulator will not help you, because you were never a lawful customer of that operator. This is the part people underestimate: the protection you were relying on does not exist for an account that should not have been opened.
The legitimate uses
Privacy on public wifi while browsing a review site like this one is fine and involves no account. What causes the problem is depositing and playing from a country the operator is not licensed to serve.
If no operator is licensed where you live, that is worth knowing rather than working around. Some of our market pages describe offshore operators for exactly that reason, and they state plainly what protection you do not get.