Some countries block VPN for whatever reason, and this is a collection of methods to run VPN and overcome this blockage.
You can test if one of the methods work using one of the free tier cloud instances avaialble. (preferrably Linux)
On your local linux or mac, add in /etc/ssh/ssh_config.d/relay-host.conf:
Host relay-host
HostName <relay-host-ip-or-hostname>
User <user>
IdentityFile <path-to-private-key>
Kitty / Putty is the preferred client to be used. However the methods can be done using ssh from windows terminal.
Generally, this method doesnt require much setup.
This method requires extra steps, but it usually performs better, since VPN packets are not encapsulated in other packets, rather there is no direct connection to VPN server
Currently, only openvpn has been tested using these methods to work mostly.