Is buying cheaper games through a VPN is it punishable? If so, what are the punishments for this?

Technically, on GoG.com, I'd interpret buying through a VPN to pay a lower price as being in violation of 11.1.i. and possibly 11.1.h of the User Agreement/Terms of Service.

Under 17.2., the sanction could be up to and including the termination of your account.

17.2 makes it clear that a breach of Section 11 is a material breach of your obligations under the terms of service. While s11 doesn't explicitly say that you can't use a VPN to save money, it's fairly clear to me that it's one of the types of things they have in mind.

Just to be clear on this, with my post, I make no comment on whether regional pricing is fair or right and express no other views beyond my interpretation of the Terms of Service.