In the past you had to install the Brian Hornby OpenVPN plugin and manually edit your .ovpn files. These days things are so much easier with the Zomboided plugin as it contains a database of most of the big VPN providers, downloads their config files and walks you through the setup.
One thing; on the Vero and Pi you won’t by default use your VPN providers’ DNS servers. This allows DNS leaks to occur. Luckily Zomboided comes with an option within it’s advanced settings called “Potential DNS fix” or something. However before you select it, you want to ssh into your Vero and install a small package called Openresolv:
sudo apt-get install openresolv
Then when you choose the Potential DNS Fix and go through the motions, you’ll be able to send all dns lookup requests through to your VPN provider whenever it is active. And when you deactivate your VPN, OpenResolv automagically restores your default DNS settings.