VPNs are illegal but many people in UAE are using these so that would be a minor issue. (Habibi, no police - no problem!)
Gambling would be more serious thing and could end up in jail and face deportation.
You could do it using VPNs, but make sure never to transfer this money back to any bank in UAE.
Have an account somewhere else where it's acceptable and keep the money there, use card etc.
Also, you could use crypto (if the places where you gamble/bet accept it).