In order to do this, you’ll need to be a little bit of a geek. For example, I own a Synology NAS that allows me to create a VPN server and to access the NAS from the Internet using dynamic DNS.
There are many ways to go about it and the best way depends on what kind of hardware you already own. In this article, I’ll walk you through the steps that would be needed to accomplish something like this. If you have a corporate iPhone, that’s probably already taken care of for you, but what if you want to secure your personal device? If you have the time and patience, which you’ll definitely need, you can setup your own personal VPN server and connect to your VPN from anywhere in the world whenever you want to secure all the traffic coming in and out of your iPhone.