It is also risky in my own opinion as the casino have control over your account by banning the account or not. If your country banned gambling then the casino will surely add your country in the list that are not allowed to gamble on the casino. So, I would only use this to check not for gambling.
We can access casino sites using VPN but if my location is blacklisted it will be very risky to gamble because casinos can freeze funds or ban accounts whenever they want, so there is no option to gamble using third party access to hide IP, unless you willing to take the risk and better use the minimum funds just to gamble for entertainment.
There are indeed tendencies for conlicts to arise using VPN. Some would say there are stable VPNs but I cannot trust tweaks really. There are VPNs which resets servers for a period of time which can cause problem with your funds. Much better if you would move to countries wherein it would be accessible, if you are really that down to play. Foolish indeed. You can also be patient and wait for things to go in favor with what you want. There are might be land based casinos or gambling places on your area as an alternative. There are other ways so as much as possible don't add risk to risk. I have friends who are using VPNs but they know that there are chances for problems to occur but they've just accepted the fact. So if you are like those guys, feel free to do so.