The N66U runs essentially the same firmware as the AC68U so there should be little difference in VPN capabilities and setup. (I don't see a VPN client on the N66U either.) The AC68U is basically the same router with faster CPU and AC capabilities added to the RF section.
To do what you want, it's most likely that DD-WRT or another third party firmware will be required. Except to get a VPN client or some other specific feature, not sure if I would run DD-WRT on an AC68U. Apart from some extra features in DD-WRT, the stock firmware is probably more stable and the Merlin builds a little better yet. DD-WRT tends to be a little more stable on older hardware. From what I've read 5GHz WiFi does not always work well on DD-WRT.