Actually, yes you can! However, it does require you to manually input your VPN provider's details, which you'll have to secure through a subscription with a service that provides that.
Check this link out: https://www.samsung.com/uk/support/mobile-devices/what-is-a-vpn-and-how-do-i-add-one-to-my-device/
However, it's a bit more involved than just downloading your preferred VPN app and subscribing to that.
Personally, I use Surfshark as my VPN - I mean, unlimited accounts! Dang! - and so far it's been decent!