Running VPN client on EC2 instance

I am trying to run a VPN client (Proton VPN, Planet VPN or any other) on a Windows EC2 instance. My goal is to change my locality for the web server. For example, I want to access a web server in Romania via VPN connection to a Romanian VPN server and thus appear to the server as a Romanian client. I cannot achieve this goal by selecting AWS Region, because there is no such AWS Region.

However, my VPN client cannot connect to a VPN server. I have enabled all inbound TCP and UDP connections to my EC2 instance (and all outbound connections are enabled by default). Nevertheless, VPN client is unable to connect. What else should I configure to make VPN client working?