TLDR: Unless your a terrorist being a FVEY citizen makes you too much trouble so it’s criminal interests that are your threat, making a US based VPN useful.
So, If you’re not doing anything illegal, I doubt the govt cares if you have some weird fetish, but if you’re important enough that you could be blackmailed from for it, then you should have it for private protection.
FVEY cannot casually collect on FVEY targets even in foreign countries (say you’re an American working in Syria for isis, you’re still an American), so it doesn’t matter whether your VPN is in Europe or America if you’re worried about some close alliance spying. Caveat is that some agency like the FBI obviously can pull from a domestic company while NVPN can tell a US alphabet agency to fuck off. I mean at this point, you’re doing something that’s enough to get a legit investigation interest, ie; you’re kidnapping, drug dealing, basically are a terrorist or have terrorist friends.