With a sole proprietorship, you and your business are legally the same entity.
This means that if you, the owner, are physically present in another country and actively conduct business there — even something as simple as responding to emails or taking phone calls — authorities in that country could argue that your business is “doing business” locally. As a result, your business could be subject to that country’s jurisdiction, laws, and potentially taxes.
For example, if a VPN business is registered in Italy, but the owner spends three months in the United States handling business communications, U.S. authorities could claim that, during that period, the business falls under U.S. jurisdiction.