I do not think that there are any legitimate and regulated casinos which are VPN friendly. And as others in this thread have already written; any casino can change their TOS at any time and you would probably be caught unaware. It is a better idea to rather not use a VPN.
It has something to do with laws that the casinos have to follow. AML is a big one. Otherwise any casino could launder money from some anonymous people at any time. That would not work.
Casino sites have already made kyc very easy. Sites without kyc can gamble using a fixed amount. so I don't think there is any need to use vpn either. there is a fear of account blocking if you use vpn so it is better to use sites without using vpn. Since gambling is not officially legal in my country it is very difficult to access casino sites in my country but I can use the reputable casino sites on this forum without vpn. Some sites do not work with sim ip but through isp connection is running smoothly
In my experience, as well as in the experience of other veteran Bitcointalk gamblers over the years, KYC is never easy, as you claim, because of the sheer number of people that they have to check. It can take a long time to check them all. Doing KYC before depositing funds will save you a headache...