There are people who try to find loopholes when it comes to following laws. Many people consider that if there is no law for anything then they are free to do it.
But it depends on a lot of factors in such cases. Talking about Gambling, if your country doesn't have a law for gambling and you are able to access the site freely then I guess you are good to go and gamble.
But if there are restrictions on the site then it means that you are not allowed to gamble on that site and should avoid it even through VPN.