Well, well, well this might not be the solution to your problems but here's what I found:
(I'm currently using Opera 85.x.x.x.x) the first time I installed the browser, my Windows System was recently installed as well and unconfigured, my Regional Settings and TimeZone were configured by default for Europe, specifically for Spain. That first time I used Opera, the VPN worked great! Then I started to configure the time settings and all were screwed up. I wouldn't touch the timezone settings, but the WhatsApp web app required me to have my system configured aligned with the global time settings for my region (the Caribbean) otherwise messages won't be sent.
The bad news is I couldn't manage myself to revert the changes, and now the VPN isn't working anymore, but hey, at least is a shade of light.
Before changing the settings, everything was going well
now one activates the VPN, and as you can see, it doesn't even allow changing the VPN location
