Yes. By connecting to a VPN server in another country, you will get a valid IP address there. This will allow you to access a foreign PlayStation store to purchase games. Because of the varying prices that games sell for around the world, this can allow you to make savings.
The only thing to remember is that you will need to set up a new PlayStation Store account that is registered in the country where you intend to make purchases. This is because your original PS Store account is registered in the country you actually live in. Once you have set up a new account (while connected to the VPN), you can purchase downloadable games that install and play normally in your home country.
The VPNs we have recommended have servers in numerous countries around the world. This will allow you to shop around and check the cost of games in various regions. The thing to remember is that in countries where earnings are lower, games are likely to cost less. This makes countries like Turkey and Latin America a good place to start when looking for PlayStation Stores that offer better deals.