I know they do some hotspot restrictions over there in US.
You should be able to get around it with something like TetherFi: https://github.com/pyamsoft/tetherfi (Android)
It creates a legacy Wi-Fi direct group and runs a proxy server on the phone. You can then connect via the proxy in some programs on your computer (e.g.: Firefox).
You can also run a proxy server in Termux. I use tinyproxy because it's easy to setup.
Both of these will also go over VPN if you have that connected on your phone, as it's basically the app (proxy server) using internet on behalf of your computer.
Alternatively you can also use socat
for port forwarding, for example to a public VPN server. Then on the computer you could set up the VPN connection as usual, but replace the IP/Port with those used by your phone locally.