When you say 'sharing' internet connection on your laptop, you mean tethering? Like your laptop has internet connection (wired or wireless, connected to a router) and then your console tethers to the laptop wirelessly. Sort of like tethering 4G mobile internet connection on a phone?
If so, you will need to run some program on your laptop (like freeware Virtual Router Manager) to create an ad-hoc wifi on the laptop (basically makes the laptop a router virtually, to allow tethering). Of cos, you then run a VPN on the laptop. I have only tested it very briefly long ago (on Win 7, not Win 10) and I remember it didn't perform too well.
Alternatively, nowadays physical routers have a VPN setting that you can configure directly, so it applies to every device (laptop, console, phone, tablet etc that connects to your router), but I don't know which VPN service supports that (never researched into it). Another alternative is switch to MyRepublic, they have a VPN service (paid service, additional monthly fee, I think called 'teleport'). Basically all your MyRepublic internet connection goes through their VPN and you can switch country (again, never research much on how it works; other ISPs may have similar).