If you're inside the US and use a VPN, they'll assume you're from outside of the US: Intercep and store.
https://en.wikipedia.org/wiki/PRISM
If your traffic originates or terminates in the us it is not fair game
The point is that the vpn obfuscates your origin. Which is the point of a vpn so acting surprised is a little silly.
https://en.wikipedia.org/wiki/PRISM