I would never do something like that, because the casino will see it right away, because they have long since learned to determine what IP address a person has entered. I don't know how this technology works, but they will really immediately determine whether a VPN is enabled or whether the IP address is clean. And unscrupulous casinos may not immediately call for a block, but wait until such a gambler starts losing, and in that rare moment when he wins and wants to withdraw money, they will immediately block him at that moment. And he will not prove anything against the casino.
Of course they'll eventually notice it, but there are casinos that don't catch it right away, meaning you still have time to enjoy using a VPN. As long as you know how to manage the risk it shouldn’t be a big problem. If a casino bans you, you can just switch to another one, especially those that don’t require KYC. There are still plenty of options out there.