Another option would be to use a raspberry Pi as the router with one of its USB ports connected to your phone with the VPN-based internet connection. To provide the internet to other devices, the ethernet port of the Raspberry Pi can connect to a router/switch/bridge and/or also the Pi's own wifi could be used to broadcast it for wireless devices. Or a wireless access point could be added to the router attached to the Pi.
Here is an answer for using a Raspberry Pi tethered to a phone to enable its mobile network to be provided as an internet connection other devices:
Answer to: 4G LTE Device [USB Tethering]--> Raspberry Pi [Ethernet]--> Router, is this possible?
What this answer assumes is that your phone will support USB tethering and the VPN at the same time and that the VPN-based internet connection can be routed over that USB tethered connection to the USB host to which your phone is attatched.
If that is possible, then I can't foresee any other blockers, assuming that the steps described in that answer are correct (I haven't yet tried them).
If successful then that means you would not need to do any particular adjustments to your phone.
Update
(Following a comment from @Irfan Latif here, I added a response comment, and updated my answer with it, here):
However, if VPN is not supported at the same time as USB tethering then the next option you could try is to run the VPN on the Pi itself, ExpressVPN seem to provide support for this: expressvpn.com/support/vpn-setup/app-for-raspberry-pi Other VPN providers, such as speedify.com also support the Raspberry Pi - and they can bond different network connections together should, say, the original poster want to use mulriple phones etc. I don't work for ExpressVPN nor Speedify nor have a financial interest or affiliation with them.
It's worth also noting that if you try this, then the settings in that linked answer above might need adjusting because they might have been written for a scenario that doesn't use a VPN. I say might - because the might still work - I don't know - I just want to bring your attention to it to minimise any frustration :) . With that in mind, the approach could be to get the steps working on your setup with the Raspberry Pi, without the VPN running. Then install ExpressVPN on the Raspberry Pi and see if it still works. By having tried without VPN first, you'll know that the Raspberry Pi can work as a router, so you have that and use that as the basis to get it working with the VPN. Maybe the VPN provider can support you, or at least they might be interested.