In most Western nations – yes. In nations with dictator systems – no.
As of now, a large group of nations in the Middle East have prohibited the utilization of VPNs.
China, North Korea, Saudi Arabia, India, Turkey, Iran, Russia, Thailand, and another couple of dozens of nations have restricted VPNs. In these nations, utilizing a VPN is illicit, however offering access to VPN can land you a jail sentence.