This would create more problems than it solves. Square would need the bandwidth to tunnel everyone into the data center (all a VPN is route) while maintaining server integrity. They would also be creating another service that would need to support and would have to have people on standby for networking support. The logistics behind setting up a VPN is daunting. Imagine Square, with their famously horrible customer support, adding on and supporting complex network protocols. The world would likely implode.

It's proven Square has no idea what they're doing regarding network infrastructure as it is. I doubt a VPN service of their own would do any good.