Here you can see the how to use VPN on Xbox
Choose and Install a VPN: Choose a trusted VPN provider (NordVPN, Surfshark, ExpressVPN, and others) and get the VPN client for your computer.

Connect to the VPN: Open the VPN application, enter credentials and another window opens, select location to connect to.

Pros: More free, as the user is offered to select a different VPN server for the certain device.
Cons: They are simple, however they do require that you establish internet connection sharing on your computer.

Read More : https://techyeco.com/xbox-vpn/