Most decent routers should support that. I personally use a Unifi Dream Machine which I can't fault. Previously used a Nighthawk router which also supported it.
Do you have any other requirements for the router? Or just to be able to run a VPN? When you say VPN, are you looking just to encrypt your home network (create your own VPN) or to use a paid service? E.g. VPN client or server?
Most decent routers should support that. I personally use a Unifi Dream Machine which I can't fault. Previously used a Nighthawk router which also supported it.