Yep, can also use "Internet Sharing" on PC/Mac to connect PS5 -> ethernet -> USB ethernet dongle -> Mac/PC Internet Sharing -> VPN App -> Internet
It worked ok but still had some lag for me, probably cause of the USB connection. The Dedicated VPN gateway (RaspberryPi/GL.INET device) let me get my Mac desktop out of the loop and have a dedicated VPN device for the PS5
