Yeah, some. You need to learn some new tools, like ssh, command line usage and how to keep the system up-to-date. That's the bare minimum. Then it's good to learn a bit of network firewalling, to secure the host better.
Then you need to deploy a VPN server. OpenVPN Access Server is easily installed and can help settings things up reasonably quickly. The unpaid install allows you to have 2 devices connected at the same time.
Alternatively, there is the Cloud Connexa service. That will function a bit more like the Proton VPN Secure Core when fully set up (you can can connect from your devices from a different region from your VPS's location). You run a few commands on your VPS which the Cloud Connexa wizard setup guides you through. The free plan here includes 3 connected devices (in your case VPS + 2 devices).
With both alternatives you can install the OpenVPN Connect app on your devices, provide the username/password/otp for the account you've created in Access Server or Cloud Connexa, and you're basically ready. The Connect app downloads the proper config file and you can connect just as the consumer VPNs.
@LinkOpensChest_wav
Just do me a favour, don't follow all the suggestions from random blogs, wikis and such. There are tons of them, the vast majority is rubbish and too often even making things worse or harder to cleanup afterwards. Most of it is even out of date.
@nixCraft is one of the saner ones to pay attention to. Or read the blogs and docs for #Fedora or even Red Hat Enterprise Linux (aka RHEL). The latter one goes through quality checks, often done by tech people knowing their stuff.
Linux Foundation and Red Hat also got some free courses too.
A few starting points:
https://training.linuxfoundation.org/training/introduction-to-linux/
https://www.redhat.com/en/services/training/rh024-red-hat-linux-technical-overview
https://access.redhat.com/products/red-hat-enterprise-linux/