However, there is a risk about using a VPN.

Even if the casino allows VPNs, if the casino requests a KYC process to the user, then he will share his real data including the location, and if the country is banned that would be enough for the casino to lock the account and keep the user's funds. That's why i don't recommend using a VPN at all. If you country isn't allowed by the casino the best move is to stay away from it and find a casino that doesn't have any problem with your country.