It may seem like a silly question, but it's not. While you're absolutely safe and within your right to use a VPN in the USA, there are countries that have laws against them, including the likes of China, North Korea, and so on. However, within the US, VPN services are completely legal to use.
Of course, it should go without saying just because you're connected a VPN, doesn't make any illegal activity legal, or indeed make you immune from prosecution.