Well, lots of VPN-services are compatible out of the box on a Ubuntu, Zorin, system.
Even the Deeper Connects, the Peer-to-Peer VPN's have a compatible software one can run on any Linux out there. The only one that neglect Linux and its development is and was Cyber Ghost that communicated they'll aim for Windows support only. The Linux paks are all outdated and will not work on a modern Ubuntu, Fedora, or any other Linux.
Stays of course a point where the question remains: "why on earth would you go and using a VPN in the first place ?" In all answers you will find plenty arguments for NOT using a commercial VPN in the first place. The main reason behind it is 1 you are not anonymous on the internet , 2 your only security is inside the VPN-tunnel, 3 your 'masked IP' has known packs of your original IP from your ISP.
Needless to say that most of the times ISP's (Internet Service Providers) are REAL companies behind the service. And more, they are bound by law and order so you always know that your Provider has stringent rules to follow upon. VPN's have no homebase in law-binding countries exept 1 : PIA-VPN that is located in the USA, all others have a home-base in the Maiden Islands or Venezuela .
VPN does not warrant anything, they so-called don not log your activities, yet: if your actions are ILLEGAL they'll throw you of the service (read the agreements of all VPN services before you start shouting different !) . Now how do they know if your actions are plain illegal if they do not log your traffic and your connections are encrypted ? This as an example why you can not trust a VPN-service .
Illegal actions are with a VPN in just 2 clicks away ! Example: in Europe we pay taxes on buying stuff on internet. So do we pay taxes for buying a Zorin Pro License. If you use however a VPN, you can even buy from a location out of Europe in a tax free zone (e.g.) the Zorin Pro. It will work and Zorin is now very cheap to obtain even, but YOUR ACTIONS ARE ILLEGAL at that point : tax deduction, fraud in location whereabouts, fraud to the Zorin Company.
Same goes of course, when laws are stringent on internet content: you can skip it by using the content from out of a country that has no laws; yet, you infridge laws inside your country and therefore your actions are ILLEGAL.
As said : " Why on earth would you use a commercial VPN for ?" this you should really consider before jumping in the sky how ProtonVPN works on all Linux out there ....... On my Linux NO SUCH THING will ever be installed because it is just plain stupid in the first place. Besides .... you give an unknown company access inside all your traffic, inlogs, banking services, etc , without really knowing what that company is about and what does it really warrants on the Privacy you 'think you buy' ? Again, your ISP has rules to follow by law and order, a VPN has nothing to be accountable for.
I hope newbies with Zorin, and more advanced users, will understand what I was trying to say here. Don't follow commercial VPN's out there in the blind faith .... it is even dangerous for many more aspects than what I explained in this Topic. Yes, it goes even much more further in the danger-zone than one would expect.
You have been warned !