Mate, just to be on the safe side what you need to make sure is that your casino allows the use of VPNs, as most do not. Some do, and maybe you're not doing anything wrong. For example, Bitz.io does allow it, and it's not the only one, but most do not. What I've done personally when I've encountered this problem and the casino doesn't allow the use of VPNs is simply to choose to play among those that are actually available.
The casino I play at allows VPN use. However, not all countries allow it. Some have restrictions. I've encountered sites where VPN use was strictly prohibited. I simply passed by such sites. Why complicate your life? No, then no. I've learned about many wonderful casinos on this forum. I really liked some of them, especially because the registration process is very simple, there's no need to verify your identity, and there are no problems with withdrawals.
In fact, there are not many gambling platforms that don't require verification. If, after registration, a platform allows you to play and withdraw funds without verification, this doesn't mean that it won't require KYC in the future. I mean, it's important to keep this in mind and carefully read the ToS, especially if you use a VPN to bypass restrictions.