I'm on Mac, and no. All I have is a link to the VPN provider's website where I can purchase their VPN. There is no option to turn it on in the browser, even with 'Show Advanced Settings' selected.
The VPN is blocked in China. To get around this you have to set your computer's location to the US (or a country where the VPN is permitted), then reboot Opera. The computer's location can be changed in the System Preferences menu of a Mac.