As a further update, I took a quick spin out to see what the performance was like. I drove around the block and ran a speedtest. I got 36.9Mbps down and 12.3Mbps up when tethering from my MacBook to my iPhone. Connected the VPN and ran another speedtest which reported 5.8Mbps down and 4.7Mbps up so quite a drop. I get 75Mbps down and 18Mbps upload on my home broadband connection but the VPN is running on a Pi Zero W connected via WiFi at 72Mbps each way. The speed will be a combination of broadband and WiFi limitations but it's certainly useable. It was quite satisfying to watch the ping I had running as it started and stopped as I kicked the VPN in and out.