At a superficial level, it's exactly how Tor works. Except that there's a static chain, instead of a constantly churning mix of circuits. Each of which uses a different set of three Tor relays. Also, each socket from each app uses a different circuit. And circuits, by default, only last ten minutes, and are torn down and rebuilt whenever a socket resets.

It is expensive, I suppose. In that you must pay for multiple VPN services. I probably spend a few hundred dollars per year, on average. But that's ~nothing for me.

But it's not that difficult to configure. I use pfSense VMs as VPN routers. And pfSense has a very intuitive WebGUI. To create nested VPN chains, I just successively NAT one VPN router through another. Using VirtualBox internal networks. And pfSense optimizes MTU automatically.

Once it's setup, you just run the VMs, and it works.