[Hehe]

The only way that VPN would make a difference on ping is if the VPN is in the same DC as the game server with direct connection on local level but the two servers have different outbound connection.

Say if you use a colocation to host 2 1U servers. They are in the same DC with one on premium bandwidth (NTT, Level3, Global X) and the other on cheap (Cogent) to maximize cost/performance ratio. And then you wire those 2 servers up for their internal transfer. If that's the case and you have VPN on premium server and game host on the cheap server, then yes, theoretically speaking, you could have better ping by having a VPN.

The other possibility is if you connect to foreign servers. Say they locate their VPN at the very entry point of cross Atlantic/pacific DC with serious routing setup to all its local ISPs. Then yes, there's a possibility of reducing pings as well.

Nevertheless, I fail to see how much impact it could actually bring.