I haven't attempted it yet, but I suspect a workaround for iPhones can be achieved with their "Shortcuts" app.
At home, I have PR/Hide IP Address "OFF" (I'm behind my PiHole + VPN). Upon a network change (ie have left home and am on cellular/some other wifi), script set to automatically toggle PR/Hide IP address "ON".
Edit: Hmm, so far, closest I can get is a shortcut to get to the actual System Pref. portion of where PR exists. Anyone with more experience with this app, feel free to chime in! In the meantime, I will just have to stick to network-based VPN toggling.