Can I install a VPN software on Apple TV, like ExpressVPN on it?

There is no way to run a VPN directly from the Apple TV.

However, you can run a VPN through your router that will downstream impact the Apple TV. I’d look for information about using a VPN with your specific router if that is something you’d like to do.

You’re welcome. Remember that if you do a VPN at the router-level, the VPN will apply to all devices on your network. If you go to the support/help website for the VPN you’re using, there should be instructions for how to set it up on a router.

Not possible, unfortunately.