I think you should know that your ISP can track your online activities and they know if you are visiting gambling sites on your cell phone and computer. They can give this data to the government anytime if they feel like or if the government demands it. So i hope you are using a paid VPN and you know all the tips and tricks to hide your identity online. It's still not safe to play gambling online if the government had banned it already.
If someone do not have money for paid VPN, he can just use the ones like ProtonVPN, there are free part of it that people can enjoy, but the servers available can be congested at times. But most free VPN are not advisable because of ads and they are not secure and safe at all.
Before using a VPN for a gambling site, better to check it on the gambling site terms and conditions before using it at time. As for me, I can not use VPN for gambling, but gambling is legal in my country.