As far as I know almost all of these websites allows the use of VPN, not sure, but I use VPN on some of this websites to access providers that aren't available using my loval IP.
Not all gambling websites allow the usage of VPN, especially for accessing the banned in your country game providers.
For example,
mBitcasino that I have just reviewed, forbid the VPN according to the terms and conditions, although I was able to play there with VPN, deposit, and withdraw.
I think it can be fine to use a VPN till the moment you win something big and decide to cashout the winnings. This is the moment when a casino can easily close your account and confiscate all the winnings. So it is better to double check if the VPN is allowed or not.