@lyderisit There are 2 possibilities. First, the reported listing/analysis for IP geo-location may be in error. Second, the VPN may be using an IP that is not aligned with what you requested.
Websites that determine your geo-location from an IP rely on various listings that cross-match a given IP to a service provider and his published geo-location. Sometimes that listed location does not accurately represent the physical IP exit-portal geo-location.
A VPN generally attempts to use an exit portal for a named region that is physically located within/near that actual region. However, if there is a malfunction or a traffic overload, a VPN might default to a different exit-portal IP from that selected by the user.
In the short term, it can be hard to discern the real cause for an incorrectly identified IP geo-location, though using the 'traceroute' command can provide routing clues regarding routers along the communication path for an experienced user. Trying a number of alternate IP lookup tools can sometimes show up listing errors that aren't uniform across various lists.
Over the long term, persistent IP geo-location errors that cause user access problems should be referred to the VPN operator for analysis.