Many Linux distros have a built-in VPN capability via the Network Manager, but it’s not the same as having a VPN. It just means that you can potentially set up a VPN without a specific application.
However, you’ll:
Still have to do it yourself;
Still need to find a VPN server provider;
Not have the easy-of-life and usability features of a commercial VPN.
Most users don’t have a spare VPN server laying around, especially one that would allow them to router their traffic via a different country. So, the potential capability exists, but it’s not nearly a full Linux VPN client package.
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