I agree with @jdub about the sensitive nature of “hiding” something from your employer–GDPR contract conditions are another live wire, as is malware/ransomware–but not so much about the security issues; it could be you are just caught up in the emerging payroll tax mess. Indiana is one of the states that imposes withholding obligations on remote workers, and the temporary COVID exemptions expired last year. So companies are increasingly being encouraged to have policies that do not permit remote work from unapproved locations.
Your employer is dealing with the security issues by giving you a company managed laptop and its own VPN, so there might not be a need to introduce yet another VPN into the mix. You might reframe the question as “can I use the laptop for work while I am traveling?” rather than “Can I work remotely from Indiana?”
Barely on topic.
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