So I live in the USA, New York State.
If I use a VPN to buy into an ICO, will the US Gov't or even New York state government punish me somehow?
But that wiill be difficult, There is a lot of people from US already cheated the system to participate in ico, that was why some ico already applied the KYC approval to participate in the ico.
It seems you will be fine and will not get any punishment for that. But you will not do it again for sure.