Region restrictions apply to some of the keys we sell. During purchase you will have the ability to see your region, and check if this particular purchase will work in a different region.
Purchasing using a VPN and not checking the region restrictions may mean that the region locked key you've bought may not activated. If, when activating a key you see the message that the product is 'not available for purchase in this country', then the region of your Steam account doesn't match the region the key requires.
Check your Steam account country
You can check your Steam account region at https://store.steampowered.com/account/
Change your Steam account country
Steam allows you to change this region every 3 months, you can change the Steam region to match your purchase by clicking 'Update Store Country' at https://store.steampowered.com/account/