Google doesn’t show many things for me so I don’t think there is anyway to do it, help would be greatly appreciated!
The only real way would probably be to run a VPN at your router level, effectively routing everything on your network through the VPN - unless you have a router that supports a more advanced configuration that may be able to support split tunneling and such. You may also see a hit to your bandwidth (often referred to as speed by your ISP), so it may be more effort than it’s worth to maintain depending on your networking abilities. another thing to consider - while less likely for maybe a game, but more likely for things like streaming service, you may not be able to access what you want anyways, because unfortunately, a lot of service providers maintain lists of IP addresses from VPNs, specifically meant to block people attempting to circumvent regional restrictions - your milage may vary depending on the activity, but it’s not uncommon.
Our of curiosity, why do you want to run a VPN on your PS5?
Ah thanks for letting me know, as for you question of ‘why?’ I have now realised. I have no idea why 
A little late, but one reason as to why I am looking to run a VPN of my PS5 is because it’s said to lower your ping and slow/stop lagging for online games. Know anything about that?
It definitely depends on the VPN server that it’s connecting to, and how close to the gaming server it is, and how the routing is handled etc.
There are cases where it could help, but there are also cases where it wouldn’t. You’d likely have to do some more research to which game servers you’re using, which VPN service has servers close to those game servers, and then test and see if it helps you. You’d have to do this on a game by game basis most likely, on top of the network management aspect of it.
For most use cases, and users I’d probably say it’s not worth the effort - but of course there are those where it is worth it.
Thanks a lot for the information. It’s definitely sounds like it’s a lot of work especially seeing I only have this problem on one game so far.