ℹ️ Please note this research is from 2016 when Opera has first added their browser "VPN", even before the "Chinese deal" was closed. They have since introduced some real VPN apps but this below is not about them.
🕵️ Some folks also like to use this article to show a proof that the Opera browser is a spyware or that Opera sells all your data to 3rd parties or something like that. This article here doesn't say anything like that.
When setting up (that's immediately when user enables it in settings) Opera VPN sends few API requests to https://api.surfeasy.com to obtain credentials and proxy IPs, see below, also see The Oprah Proxy.
The browser then talks to a proxy de0.opera-proxy.net (when VPN location is set to Germany), it's IP address can only be resolved from within Opera when VPN is on, it's 185.108.219.42 (or similar, see below). It's an HTTP/S proxy which requires auth.