The Roku Streaming Stick does not have any inbuilt option to configure VPN on the device itself. There is a workaround to overcome this inability of Roku to be configured with VPN, you can connect it to a router which is already configured with a VPN.
However, please note that if you want to use Roku for streaming US content, you should have a US Roku account (you can create one after connecting your PC/Laptop to US VPN server) and your router needs to be connected to a US VPN server.
Below are the steps you need to follow to run Roku over VPN after configuring your router with US VPN:
Open Roku’s menu.
Navigate to Settings.
Under Network menu, choose Wireless (Wi-Fi) from the list or setup a new connection.
On the “Choose your network” screen, select the router-network which is configured with VPN.
Enter the password for which you have set for your router, then hit on "Connect" button.
If everything went well you will see the status as connected.
You can enjoy your favorite content on Roku.