Check out Get-iPlayer. It's command line so it takes a bit of getting set up and used to, but it will download video files from iPlayer.
https://github.com/get-iplayer/get_iplayer/wiki/documentation
You'll still need a VPN if you're not in the UK.
I've been using Windscribe for a while, and it works quite well. They give you 10GB of bandwidth per month on a free account. and they have a couple of UK servers you can use for free.
This is a referral link, but if you use it and confirm an email address then you'll get an extra 1GB per month.
https://windscribe.com/yo/zk4h7960
The free servers aren't always the quickest but that matters less if you download rather than stream, and you can download lower resolution files to get more out of the 11GB/month. If it works well for you then $45 a year gets the Pro version with more servers and unlimited bandwidth.
Subtitles are already in the file as an option, but do not automatically play, so for myself, having a separate file can be helpful as I don't know how to "activate" the embedded subs on my TV, and I thought they may help someone else as well.
https://www.opensubtitles.org/en/subtitles/8101497/8-out-of-10-cats-episode-22-7-en