Can't find the VPN Option.

[admon]

I am afraid that there is no way official way to add VPN to a Chinese device, see:

Statement on the purchase of products in mainland China

Dear all, We regret to make the following annoucement. Due to current legal and policy restrictions in mainland China, we are unable to provide VPN and AdGuard Home features in our CN version products sold in mainland China. We understand that this may cause inconvenience, but we have to comply with local regulations. If you purchase GL.iNet devices from tmall.com or taobao.com, your devices will be CN version. We have added this information to our product pages on TMall, our official store in…

There are some scripts online which might help you anyway. Feel free to do a Google search about it.