I actually carry a small travel router and Pi Zero W. The travel router double NATs an existing WiFi network to a new private LAN, and all my devices (and my wife's if she is with me) connect to the travel router and are on Pi-hole.
For me, this was easier than putting VPN software and credentials on all the devices (laptop, 2 iPads, 2 phones, etc.)
I can also run this in the car, using a phone as the internet source.