> In other words, at home you can use your own router; you can set the gateway as a computer that you control.

Yes.

> What if you had a portable gateway, one that could travel with you?

I can rent a VPS and connect through it using "Always-on VPN" option (I did it once and it worked). But then I have to pay for a server monthly in addition to the mobile plan. It is not that expensive but I would prefer just having access to iptables and being able to install my firewall on a phone.

I might be wrong but on Windows you can at least install a firewall. At least you could on earlier versions.