There are a few things you need to consider when using VPN.

First of all, does the platform allow its users to use VPN? Some casinos allow it, but most don't. Here, you will have to talk with their customer support or read their TOS and other documentation to find out. If you are allowed to use VPN, there is another possible problem. If you use a free VPN service or one that has a huge amount of users, but with limited servers, it might look like you are using multiple accounts. 5 people using the same IP on a casino can look like it's the same player using multiple accounts. Since multi-accounting is not allowed, you could be subjected to KYC or have your accounts blocked.

The second thing to consider is why are you using VPN in the first place. Is it to stay anonymous and protect your privacy, or as a workaround for the geographical restrictions to gain access to the casino? Most people use VPN for the latter.