When you're on a VPN and purchase gun or other stuff that falls under regulatory/compliance regimes, you will do one or more of the following in the backend systems:

- Have them hide content from you or display alternate content to you depending on where the VPN head-end is

- Trigger high-risk authentication processes (or outright deny you) because VPN head-ends are often in different states. So if you authenticate from a VPN head-end in Alabama today and then one in California tomorrow, the authentication widget on the other end is going to view you as having traveled far afield and block or require MFA as a result of the travel

- Trigger high-likelihood-of-fraud purchase processes. VPN and TOR are often used to determine whether or not a CC is still valid; thus, anyone who's detected as coming from a VPN head-end, TOR, or known proxy may again have limitations placed on their purchasing or be required to pay for purchases using non-refundable means (Brownells in particular does this). Because using a VPN obfuscates other risk telemetry (like to name just one, your geo-tracked IP address), other programs like rebates may be rendered ineligible (as using a VPN to evade per-household rebate limits is not an uncommon tactic).

It's not a blue state thing. It's a "We don't want to deal with chargebacks, account takeover, or other bullshit that's often contemporaneous with VPN usage"

Don't use a VPN when doing banking or purchasing; you're actually causing more problems than you're solving. Just make sure you're on a decently encrypted wireless network.