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1 Install the VPN software of your choice on your PC.
2 Plug an Ethernet cable into the back of your PC and the PS4.
3 Open Control Panel > Network and Sharing Center and select Change Adaptor Settings on the left-hand side of the window.
4 R4 ight-click on the icon with the title of your chosen VPN and click Properties.
5 Open the Sharing tab and make sure ‘Allow other network users to connect through this computer’s internet connection’ is selected.
6 Select Home Networking Connection and select the home internet connection from the drop-down menu that you’d like to share with your PS4.
7 On your PS4, go to Settings > Network Settings > Set Up Internet Connection > Use a LAN Cable and select the Easy connection method. This will automatically scan and set up your Ethernet connection.
8 Select “Do Not Use a Proxy Server” when prompted.
9 You can test your internet connection if you want, and if all has gone well, your PS4 should now be connected to the internet via a VPN.
https://www.techadvisor.co.uk/how-to/game/use-vpn-ps4-3670694/