Keeping your identity private is probably possible only with blockchain gambling. I doubt if centralized gambling have a way of preventing governments from attacking them in any way
If they are a legit casino which follows the rules and regulation of a government then I don't think that they will have to think about such attacks. Online gambling really gives us an advantage of privacy, like when you are playing at Stake.com you don't need to pass the KYC since the site doesn't require one before you can deposit or withdraw your money.