I must use a VPN to connect to the play store. When I buy large games (FM, Baldur's, etc.) they always download a large additional content pack upon first run. Is this also coming from the Play servers? Or from the developer? If the latter I'd be able to disconnect the VPN and download MUCH more quickly...
The answer is "Yes and No".
When you connect to the play store and download an App, the play store will host the file and any additional files required to make the app useable. (Android APK size limitation in Google Play)
The app and it's extension files/patch files are hosted on Google Play and will very likely be region locked along with the initial APK.
Once the app is completed downloading and installed, any and all additional downloads will have to come from a host elsewhere. The only exception to this rule is if the additional files use the Google Play API for things like paid DLC or optional expansions that are tired to the dev's Google Play account.