This has nothing to do with the VPN, unfortunately.
The price difference comes from Southwest's price being different than Delta's. Southwest flights wont show up when searching Kayak's USA site, but they do show up on international Kayak pages. It sounds like that's because they don't want to pay the brokerage fees for flights booked through the USA versions of Kayak/Expedia/Travelocity -- but I'm not sure of that.
Interesting experiment though!