I did a search and haven't seen much of anything recent in the way of using a VPN on an android TV device. If rather not use the VPN at the router level, and I will be using it mainly through kodi. I saw a pia program for kodi, but it was for openelec only.
I use PIA with the Nexus Player and thought about using a physical router but decided to first try a software-only approach by turning my computer into a hotspot (mHotspot is what I'm using) and running the PIA app there.
VPN.ht also works side loaded
I side load the PIA phone apk.
Not to promote any particular service, but Torguard's app doesn't even need to be sideloaded; you can select to install it to your Nexus Player remotely from the play.google.com website.
The PIA app sideboard works just fine on the Shield TV.