I know it’s doable in general because I’ve done it in an enterprise environment, just seems to be a real pain in the ass at the consumer level which is not surprising, it’s a weird use case.
Where I work we have a system that kind of combines a proxy and a solution that approximates the same functionality as a VPN, and it’s all in one cohesive package. I know my first stop will have to be some sort of proxy, but my ideal is basically just a friendlier UI to manage it and for whatever proxy or proxy-like solution to include tunneling options out of the box.
It’s a complicated ask, but I feel like it’s becoming more useful. Supposedly, Squid can do it with a few extra pieces and that might end up being the solution.