You may not need to use a VPN. I sent an email to the customer services saying that I could not purchase from their site in the UK. They asked for my account details, made some changes to the account, and I now never get the 'not available in your territory' pop-up. I have since downloaded four items without problem.
It may be different for US customers but you should be able to buy from whichever provider you choose (unless it's a territory specific item or has a special licensing arrangement). When you download the files, the metadata tells you which DSP provided the files (e.g. DaCapo - Naxos of America; harmonia mundi - Harmonia Mundi Agrégateur)
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