There are no built-in settings to setup a VPN on the Nintendo Switch console. The best solution is to configure VPN on your router that will connect to the Nintendo Switch.
Setup Nintendo Switch VPN on TP-Link Router:
Access your router settings/control panel.
A menu will appear on your left, goto Network > WAN
In WAN settings fill out the boxes as follows:
‘WAN Connection Type’ select PPTP/Russia PPTP
Enter VPN Username and Password in the boxes provided ( VPN connection logins sent to your registered email address).
Check the ‘Dynamic IP’ option
In the ‘Service IP Address’ box enter the required VPN server (Click here to access server list)
4.From the left hand menu click DHCP
Enter Primary DNS (request LimeVPN provider for DNS settings)
Enter Secondary DNS (request LimeVPN provider for DNS settings)
5.From the left hand menu click on Security > Basic Security
SPI Firewall – Enable
Under VPN heading – Enable all options PPTP, L2TP and IPSec
6.Click on Network > WAN
A.Scroll to the bottom and select if you want to
Connect on Demand
7.Click save and let your router reboot, Your Nintendo Switch VPN is ready
Setup Nintendo Switch VPN on Linksys Router:
Login to the router Settings/Control Panel/ Configuration
Click Setup tab > Basic Setup tab > Internet Connection Type
Click the drop down box and choose PPTP as connection type from the listed options
Configure the following settings:
A. Check “Obtain an IP Address Automatically”
B. For Server IP address click here, then insert the required “Server IP Address” into Server IP Address box
C. Insert your Username & Password (VPN connection logins sent to your registered email address with LimeVPN)
Select Save Settings, let your router reboot and it should begin connecting to your VPN server.