Hi @fionaieraci I understand what you want to do but it's not possible as you can only have 1 router connected to your single WAN connnection. You can however be connected via VPN on a device at the same time as a non VPN device using the same single router.
Hi @fionaieraci If you were to use the VPN client on the device you are using to view, it would leave the router free for normal internet access, for example my wife can be watching Netflix AU on the lounge room HTPC whilst I could be streaming an EU news feed via VPN on an iPad in the same room. I simply use the VPN client built into iOS or Open VPN.
If your streaming device doesn't allow for setting a VPN configuration then yes you're in a bind for having to use the router's config. I'm not familiar with the Roku streaming player.