However, there is a risk about using a VPN.
Speaking of many risks of using a VPN depends on what VPN is used.
If you use a free VPN, it will certainly be more dangerous because it is potentially more vulnerable to malware infiltration, unstable connections, and interception of data entered when using a VPN and many other risks.
After all, if it's forbidden, why force it to use it, unless the casino allows the use of VPNs and does not lock user accounts.
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.
My country doesn't allow any gambling, but if it's just entertainment just playing without a lot of money being used, it's not a problem.
Gambling is not only through websites, there are many game applications that provide it, such as Higgs Domino Island with slot games that use chips.