I've searched the internet and found no clue as to whether this is possible on iOS. I know Android supports that (at least with root access), but I haven't seen any evidence that it's doable on iOS. Running a personal VPN server on iOS could help friends in other countries who suffer from super restricted internet access.
👤 MexicanJoe Accepted Answer ✓
You can run Linux on iOS, so I guess it's possible, but the performance would suck I think. Of course, you would need a dynamic DNS as your IP would change all the time. If you connect to local WIFI, that might be blocking your server.