Fortunately, iPhone has a built-in VPN client and you don't need to look for third-parties apps to connect to the VPN. So all you need is finding a reliable VPN provider. For this kindly go online and check out the reviews for different VPN services. Make a comparison of the features, costs, security, speed, bandwidth, server location and connectivity protocol. By doing your research beforehand, you can narrow down your options to two or three VPN service providers before making a final decision.
The following visual tutorial could help you to set it up on your iPhone as well:
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Hope it could help.