As I understand it, it's like an extreme sandbox -- a completely separate computer (or a VM) where all the web stuff happens (javascript etc), which just ships pixels to your computer (phone/laptop etc). Ideally the complexity of the client software is low, i.e. not a web browser, and there is strict site isolation (VMs) at the sandbox side to prevent leakage from one site to another. I'm a little vague as to how this implementation works.

So this is nothing to do with a VPN as such, but of course you could host it in the cloud, or run a VPN to a cloud endpoint.