I know where you’re coming from. Right now the way many of podcasts’ audio files are served is via HTTP CDNs. The podcast client fetches the RSS feed, then fetches the linked-to audio file. The VPN, as you say, just changes the source address of that request.
What we could work on is reducing the number of requests to those CDNs.
One idea: A service which serves a mirror of the podcast feed and audio files. Users would need to manually enter podcast feed URLs into their client, rather than select the podcast from a convenient in-app search. You’d have to trust the service operator isn’t collecting and sharing its usage data.
Going further, we could use Bittorrent to distribute episodes between mirrors. Mirrors could subscribe to a RSS feed of torrents for particular shows.
I could imagine some community-run effort in this space.