The initials VPN stands for Virtual Private Network, and this name gives a clue of what it is all about and what it does. What is VPN, and What are the Steps for Using it for Online Casinos? To effectively understand casino VPN, it is good first to get a clear insight into what VPN is. While there are several benefits to using VPN at casinos, it is frowned upon by some. Also, access to online casinos with VPN has become common among players who need anonymity. Some motives for using a VPN while accessing online casinos include protecting personal data and unlocking geographically locked content. There are several reasons why an online casino game player would want to use VPN to access the gambling site.