Yes. You can setup a VPN on your wireless router provided your wireless router supports it. It should be noted that not all routers have inbuilt VPN server supported on it.
In case your wireless router does not support a VPN server your should upgrade your router to a wireless router with vpn support
These routers have inbuilt VPN functionality in it which would enable you to configure the VPN on your wireless router and get remote access to your network.
What is a VPN router
A VPN router is a wireless router which has inbuilt VPN server in it. For example let us check one of the routers which is the TP-Link AXE5400 Tri-Band WiFi 6E Router (Archer AXE75)
The specifications of the router states that it supports VPN Server and associated VPN protocols like OpenVPN/PPTP/L2TP which are the common VPN protocols. This would ensure that users can remotely access the router from anywhere and gain access to the internal network.
When selecting a wireless router with vpn support the support for VPN protocols is the most important feature you need to verifiy if you want to setup a VPN on the router.
Is a VPN router worth it
It depends. In case you want to just access a PC on the network remotely, you need not buy a VPN router. You could setup port forwarding feature, which is available on almost all routers.
For example let us take a scenario where you need access a PC which is on the network. You can configure remote desktop on the PC and setup port forwarding on the router such that it will forward all remote desktop connections from the outside to the PC.
But if your requirement is to access the entire network, then a VPN router would be needed. Let us take a scenario where there is an application server on the network which requires access from multiple users remotely. In this scenario a VPN is recommended.
VPN router benefits
By having a VPN router, all your traffic is encrypted and secured. You can setup individual access control for users requiring access to the internal resources which would significantly improve the overall security of your network infrasructure.