Although the Xbox, Xbox 360, and the Xbox One do not support VPNs natively, there is a solution for this.
What you need to do is to set up the VPN on another device and route the Xbox through that.
Therefore, your only option, is to setup the VPN on another device and route the Xbox through that.
We recommend that you use a second router running DD-WRT to establish the VPN connection.
For more details on this, please see our knowledge base article here.
Please have a look at our article in the link above and if you require any further information, please send us an email to firstname.lastname@example.org and we will do our very best to assist you.