I don't know how it works, but they really do have such a tool, and I have seen it several times. Therefore, if a casino does not want to let someone onto its site, they will ban the VPN, and the player will not be able to do anything.
Though before most people sell of their documents to outsiders who are using to pass kyc to the gambling site would always tell them to using same location while using their site. What I mean is that, if someone purchase kyc documents from someone in US and he passed the kyc from the gambling site, when login he would always tell the person to use same location instead of logging-in from their country location and he would also enable VPN to suit the previous of accessing the site.