Soundcloud like all the other website that have their own add system, offer advertising services in very few countries. This means that if you vpn to one of the countries where it doesn’t have adds set up, you will stop getting adds.
Soundcloud is a webpage I use frequently use and I have found out that as of 26/05/2018 it only offers adds in: USA, Canada, UK, Ireland, France, Germany, Australia and New Zealand. So accessing Soundcloud from any other country in the world will not get you adds. I found out from this website.But don’t vpn to a country too far away or your streaming quality will be affected.