This is what Russia is (semi-successfully) doing.
You either need to firewall the nation (which I imagine would be pretty unpopular) or it's just a waste of resources.
VPNs are incredibly easy to spin up, gambling groups are not. Within a week I could probably spin up a dozen or more semi-legitimate VPN companies. Multiply that by however many hundreds of people are willing to do the same. Add a few thousand more people willing to spin up completely shady 'free' VPNs.
The scale quickly exceeds what you can possibly block, unless you firewall the nation.