I've seen 4 types of keys, NA - North America, EA - East Asia, RU - Russia, and ROW - Rest of World/Global. OP probably has a NA key. OP using a VPN to get cheaper games, weather on purpose or not, is against the Steam Subscriber Agreement and they can lock your account for it. You will also need to use the VPN everytime you launch the game. I don't think Steam really cares so long as you aren't doing it a lot... But IDK