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I mean, if the question is, “I want to be able to route traffic from my where I am in X place and make it exit onto the internet in Y state,” then the simplistic answer is “Yes.”

But again, there are a lot of places where that simplistic answer can break, so be careful and be warned.

IT departments vary widely in terms of their level of capability and enforcement, but if you’re working for any technically sophisticated actor and they actually care (e.g. government, military, tech, defense contractor, etc) then you are going to have to be a lot more careful than just using a VPN to route your traffic (e.g., don’t check your work email from your phone).

Not to put too fine a point on this (and not at all intending to be rude), but this is really one of those cases where if you aren’t technically savvy enough to set up your own VPN server, you probably aren’t technically savvy enough to know all of the pitfalls you need to avoid to truly conceal your location from your employer. Is there a reason you have to be in state? If not, I would just ask them if you can work remotely. Seems a lot easier.