Need is a very strong word. So no, you will not need a VPN to play Lab of Lunacy slots. At least not in many, if not most locations. All you’ll need is a Stake account and a solid internet connection, if we’re talking requirements here. And technically to be above age 18 for legal gambling’s sake.
If you find yourself in a place where you can’t connect to the game because it’s not available in your region, however, you can then opt to go the VPN route.
There is also, by the way, the Stake.us website for players based in the United States, where Lab of Lunacy is available. So that’s good news that helps answer the VPN service question too; i.e. Americans won’t need one.