Have you ever wonder how smart DNS services work ? well they are using a solution called SNI . where based on DNS retriever they divert the traffic . so if you are targeting a US based it proxy traffic to the US server . if locally then it goes direct .
how about building your own Smart DNS !! seems difficult .. no! it much easier but you need to be a little IT Geek .
some might ask , ok I have VPN no need for Smart DNS . well the beatify of smart DNS that you could control which traffic goes to the proxy server and which goes locally ! . like if you want to watch something in your country or visit a local site why you need your traffic to go to the proxy server which might be a US based then come back to the local server ! .
in VPN this is doable also but require playing in routing tables to achieve this . but utilizing dns much simpler .