A VPN tunnel is the encrypted link between a device and a VPN server, made by wrapping each original packet inside a new packet addressed to the server.
Explanation
Tunnelling is a packaging trick. Your device builds a normal packet for, say, a news site, then the VPN software encrypts that whole packet and places it inside a new outer packet addressed to the VPN server. Routers along the way only see the outer packet: your address, the server's address, a port and a protocol. The server unwraps it, sends the original packet on, and wraps the reply the same way on its way back. The rules for wrapping are the tunnel protocol: WireGuard, OpenVPN and IKEv2/IPsec are the common ones today, while PPTP is considered broken. Wrapping has costs. Every packet carries extra headers, so the usable packet size (MTU) shrinks, and a tunnel that ignores this can connect fine yet stall on large pages. The outer packets also have a recognisable shape, which is how some national filters spot and block tunnels without decrypting them. Encryption ends at the VPN server; from there to the website only the site's own HTTPS protects the data. A web proxy does not build a tunnel at all: it relays individual web requests at the application layer.
In practice
A tunnel wraps each of your packets inside another packet addressed to the VPN server. The wrapping costs space: WireGuard's tools default to an MTU of 1420 bytes instead of the usual 1500 to leave room for its headers. When that sizing goes wrong, the classic symptom is a tunnel that connects but where large pages or downloads stall, because oversized packets are silently dropped along the path.
Sources: WireGuard — quick start
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