If the gambling site is truly-decentralized, governments won't be able to verify its members. Especially if the creator is anonymous. Sadly, this is not the case as many so-called decentralized applications rely on centralized infrastructure and creators have publicly-known identities. Even so-called decentralized exchanges are becoming a victim of government crackdowns and heavy regulations. So gambling online in a private and truly-decentralized way is almost impossible. Our options are limited.
I've stumbled across a handful of XMR gambling sites, but I'm not sure if they're legit. Gambling with privacy coins might protect you from the "taxman". Using cash (Fiat) to gamble physically is another option. Just remember to never gamble what you can't afford to lose, and there should be nothing to worry about.
Even governments will not be able to verify its members, government can asks the casino to apply verification to their members and force the casino to follow their suggestion. We don't know how strong the government that can push some business to follow the government wants so that will makes the casino will change their rules. We as a member of some casinos will not have any choice except following the casino rules but we can reject the verification by searching and moving to the other casinos.
Even you use XMR or private wallet, if casino asks you to verify your account, and casino will do that for all of their members, you should follow what the casino wants. Gambling with privacy coins can protect you but we know how the government works so the government can force the casino to reveal their members identity to search for illegal things in that casino. We can only trying to use crypto playing gambling and we must take care of ourselves while playing gambling. If we think that playing gambling using small money is enough to prevents the completed verification, we can do that so we don't have to send any verification to the casino.