A VPN on the phone doesn't work my friend. The wifi router that the headset is connected to has to be connected to a supported country. Possibly you can put a free VPN on the headset but that won't work properly. Free VPN's do not give you a choice of country, it often just connects you to a different city in the same country and if it does connect to outside, it's so slow, it won't be usable. It will just about be good enough to use on your phone but for data hungry VR, forget about it. They also often have a time or data limit and automatically disconnect you when you reach a limit which is usually extremely small. Best option set up a quality high speed paid VPN on your router. It's easy to do and you'll likely get a fast enough service with enough bandwidth though it will still be less than the maximum you can get from the router. It's also extremely cheap, you can get 3 years for very little money, and you can use it for all your devices.