They will be tracking your IP related to your VPN and if it comes from the strict country like US and verifying KYC is a must. The casino was just trying to deal with the regulation. Better for them to avoid having trouble with the regulators.
Changing DNS or using WARP are always become the best method to bypass it. I do understand if sometimes ISP could also block the access to the casino as well.
Some casino were also very strict on their users.
Aside from the regulatory compliance, there are other form of practices by the gambler that can warrant the casino to demand for kyc and this can be pointed out veg the conduct of the gambler while playing on the site, there have been cases of gamblers abuses of casinos to exploit the bonus system and some other features, VPN come as a victim and more of regulatory demands and that is why some time the casino never demand for KYC verification if the gambler operates within the laws and doesn't violates the terms and conditions of the casino.