A VPN provides a certain amount of anonymity when using any Internet-connected device. It works by rerouting your IP (Internet Protocol) address so that your final address when connecting is different.
This conceals some information that could be used to track you to a city. Although it is unlikely that you can be tracked further, your device can also be identified from your IP by finding your Internet Provider and demanding a list of who an IP was assigned to. Using a VPN negates this possibility.