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When gamblers bypass the law or the rules of their country while it does not against any terms of the casino, how can their funds get confiscated?
Have you ever heard some real cases where gamblers get their funds confiscated by the casino because they are coming from a country where gambling is illegal but at the same time players are not doing something against the terms of the casino?
I've been gambling for more than 10 years and I come from a country where gambling is illegal, most ISP blocks gambling related sites and I used to use VPN to access the gambling sites.
What happens so far? Nothing, I have never get my account blocked by casinos, I have never get my funds confiscated etc. Why? Because I do not breach any casino's terms.
The average country that prohibits gambling has probably restricted access to almost all online casinos - so if they want to gamble then they will have to use a VPN or something similar. Using a VPN to access a casino is likely against the average casino's terms and conditions - so obviously it will cost the gambler their winnings as they will be confiscated due to breaking the terms and conditions. Casinos may not directly list all restricted countries in their terms and conditions - but when they find customers using a VPN then they can take action.
In your case - I can only think of two scenarios at the moment. First - you are gambling at a casino that allows VPNs, secondly the casino is unaware that you are using a VPN to access their site. I am not sure you can get away with the terms and conditions if the casino team knows you are using a VPN - but you are definitely safe if they allow it.