Yes, VPNs can be configured to work on any console. Readers should keep in mind that no console offers a native VPN app. All VPN services that work with consoles do so by enabling the router to have a VPN connection and then the console to have a connection to that VPN-enabled router.
This way, any console can have VPN protection either via a VPN-enabled router or a VPN-enabled Windows PC. Hence, the best VPNs for PS5 are likely to be the same as for Xbox One.