Just because two non-hostile countries don't have official diplomatic relations between one another doesn't mean any cooperation can be completely ruled out. Depends on how much of a high-value target one becomes.
You're definitely right in your second sentence.If you're high criminal, countries will use supranational services, like Interpol. But without them it's really hard to get any information without embassies.
Also everything depends from what laws about information security are adopted in country where your VPN located. The best one is of course Switzerland