A pi-hole simply black holes DNS lookups from known advertising networks and malicious domains, so your computer is unable to connect to those domains. This is good because you probably want to block those domains, but it doesn't protect against everything. Adblocking in browser using uBlock Origin will achieve similar results, but only applies to the browser, not other applications on your computer, or say your phone or IoT device on the same network, which does DNS lookups via pi-hole. Both pi-hole and uBlock Origin do not provide any protection from hiding your real IP or your location. This is where a VPN comes in.

Personally, at the router, I black hole a minimal set of hosts from lists I know I will never want anything connecting to. For example, you could use one of the OISD lists: https://oisd.nl/. Then in your browser, you can add uBlock Origin and add more lists which you can selectively allow on websites. uBlock Origin has lists which block against internet annoyances, which pi-hole can't block against (since it's blocking DOM objects, and not DNS lookups). This is also useful because it's easier to control uBlock Origin in the browser, and you can disable it for only some sites. Adding a VPN in addition to this satisfies IP and location hiding, which you can add on the whole router if it supports that, or just your computer/browser if you want.

It depends on what you're trying to do. What exactly are you concerned about?

Most 'adblocking' is only in a desktop browser unless you use solutions like pi-hole or some alternative. Pi hole can help block some apps, services, and other devices on your home network from doing certain types of communicating in addition to blocking certain ad-related connections.

If you are using a vpn all the time, then I would not bother with pi-hole.

The vpn will use its own dns most likely. If you use your home dns that may make the vpn less private.

But pihole can block others apps telemetry, not just stuff in the browser. For example, it can block windows stuff.

Also, it has been able to block ads in apps.

The main difference to my knowledge between an ad blocker and pihole is while a ad blocker downloads the ad but doesn't show it a pihole blocks it from being downloaded.

In addition you can block anything(not just ads) so if you want to say block reddit you could add *.reddit.com to the block list and it will block it even though it's not a ad service.

All three Privacy Guides recommended VPNs have ad- and tracking-blocking built-in with varying degree of customisation options. This feature can cover the basic benefits a PiHole would give you. If you want more control, I would suggest testing a tool like NextDNS instead of PiHole which gives you a custom DNS address you can set with some VPN providers, offering smoother interplay.

Secondary question: Using a VPN on the same pi-hole?