Sometimes this is possible, but generally VPNs are illegal (at least that's what I was told) in Russia. The government has become increasingly active in identifying and locking users out of them, and of course users risk being dragged into the Russian criminal system.

Doing some sort of SSH tunnel to a VPS hosted elsewhere might work, might not. Plain old wireguard might work, might not. Consumer tools for technically novice users seem to be the government's priority.

DPI there detects and blocks a good number of VPN protocols.