Influencer VPN ads (sponsored segments) on YouTube often disseminate misleading information about both VPNs, and security & privacy more broadly. However, it remains unclear how (or whether) these ads affect users' perceptions and knowledge about VPNs. In this work, we explore the relationship between YouTube VPN ad exposure and users' mental models of VPNs, security, and privacy. We use a novel VPN ad detection model to calculate the ad exposure of 217 participants via their YouTube watch histories, and we develop scales to characterize their mental models in relation to claims commonly made in VPN ads. Through (pre-registered) regression-based analysis, we find that exposure to VPN ads is significantly correlated with familiarity with VPN brands and increased belief in (hyperbolic) threats. While not specific to VPNs, these threats are often discussed in VPN ads. In contrast, although many participants agree with both factual and misleading mental models of VPNs that often appear in ads, we find no significant correlation between exposure to VPN ads and these mental models. These findings suggest that, if VPN ads do impact mental models, then it is predominantly emotional (i.e., threat perceptions) rather than technical.