I agree with @celebrith in saying that adding a VPN would cause a lot more issues and bugs that'll need to be addressed. Besides, I feel as though developing a "built-in" VPN could also tarnish the image of Orion among more skeptical users as they learn that they're communicating all of their data unencrypted to the VPN service provider only for them to then encrypt it. It could put more strain on the developers as they have to maintain two monumental services, unless a partnership could be worked out with a service that is reputable. The whole VPN space is still really hazardous, but not quite as much when it first blew up in popularity.
And as I believe Orion has to compete with browsers of all kind, it would then have to also compete with VPNs, which could cause more problems. Unless it is a partnershipm where then @wesvr's concerns come in.
https://www.privacyguides.org/basics/vpn-overview/
https://www.privacyguides.org/vpn/