I think your solution should work, but there's one kick krub
If you're NOT using Windows 7, you will not be able to 'share' (using Window's Internet Connection Sharing - ICS) your VPN to the usb dongle
I've been using usb wifi on accesspoint mode, sharing internet from my laptop to my PS3 many times. VPN will make the ICS's routes incorrect.
Have never tried with hotspotshield though...
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