As I foresaw, It didn't do anything. Everything google is directed thru Ukraine when the VPN is enabled even after all third party data, cookies & browser history were manually deleted.

As for how the browser deletes cookies on exit:

Settings/Basic/Cookies/Keep local data only until I quit my browser

The setting is doubled and can also be found at

Settings/Privacy & Security/Cookies/Keep local data only until I quit my browser

I wonder if all this mess might have anything to do with Opera using Yandex.ru for some of its tasks

I'll try deleting third party data and report but I'm not hopeful it will solve the problem because:

• The browser is set to delete cookies & cache on browser exit and
• It happens with the Opera browsers on all my 5 computers.

BTW, Opera updated to version 46.0.2597.57 after I posted this question and the problem persist

I'm currently having a problem where anything that depends on google (search, youtube, etc) is routed thru Ukraine (.ua google domain) regardless of the selected country in the Opera VPN. I'm not in Ukraine nor anywhere near it. this started happening about a month ago. Not using Opera's VPN or using any other VPN works as expected. Anybody knows what's going on?