How do you make your own Virtual Private Network using the iPad or iPhone?
You purchase a subscription to VPN provider which supports mobile devices, preferably one with an iOS app. Here is a list of ones you may want to consider:
https://www.privacytools.io/#vpnIs a VPN the same thing as a personal hot spot?
No. A personal hot spot allows you to connect the internet with a WiFi capable device through your phone's mobile data. Simply put, a VPN encrypts all your internet traffic and routes it through another computer to improve your privacy and security.
The whole Nano device idea seems like nobody will use those in a year or two, or the certainly will not cost $80.
The Nano S still works just fine, and will do for years to come. At present, however, there are no plans to make it compatible with either iPhones or iPads. Your options are either to use the Nano S with a computer, or buy a Nano X to use with your Apple devices.