This question isn't really particular to Thailand, but ...

Can anyone recommend or does anyone even know of a compact-sized travel router that has a built-in VPN client? (Please don't ask why the the router itself needs a VPN client; there's a reason and it does, I'm just sparing readers the unnecessary details.)

Don't want to lug around a home-size desktop router, and am currently on the road so not really looking for a DIY OpenWRT-type project. VPN pass-through will not suffice; need an actual VPN client on the router. Preferably L2TP, IPsec or PPTP compatible, but could probably make OpenVPN work.

Oh, by "travel router" I DON'T mean a "myfi" type pocket router that operates from a simcard. I'm talking about a similarly-sized device that can connect via wifi on BOTH the local and outside interfaces. (I.e., can connect to a hotel wifi and then act as a wifi hotspot for other devices, again, WITH VPN.)

Have you tried googling?

I have seen a VPN company put its software on these D-link travel modems.. http://www.tp-link.com/en/products/details/cat-9_TL-WR710N.html

There is this VPN company https://www.astrill.com that puts its VPN client on a TP-Link travel router, but if you already have a VPN subscription, it's probably not what you want.

Alternately, if you travel with a Windows laptop, you could use Connectify software http://www.connectify.me/hotspot/ and your Windows VPN client. I have used it myself to rebroadcast wi-fi connection to other devices.

In my experience, the hotels that provide wi-fi or wired connections, usually have a captive portal that you must sign into before you get access. Might be difficult to use with a router and VPN client.

Your best bet will be ddwrt or openwrt. I know, it's not what you want, but there just doesn't seem to be any travel routers with VPN client built in.

I am using TP-Link MR-3040 http://www.invadeit.co.th/product/wireless-networking/tp-link/n150-wireless-3g-4g-portable-battery-powered-router-tl-mr3040-p022098/ it does everything you want, except it doesn't have a VPN... but I think TP-Link has stopped manufacturing all its travel routers now.

In fact, I have two of those, one is configured as a PirateBox..

I have a wr710 if any one wants one. 500b plus postage

Seems I was wrong. TP-Link still has a wide range of mobile routers, including the one I use. I was just unable to find them at first on their new confusing website.

However, none of the portable routers has VPN...

And yet Astrill put their own software on them so it is obviously possible.

Of course it's possible, but none of the OEMs does it. Just install ddwrt or openwrt and that's solved, after all it's just Linux. But that is not what OP wants.

Edit:

And I have a feeling that Astrill is not using the OEM firmware but most probably openwrt which they customize.

could you do it with an extra Android smart phone sitting in the window or an area where the WiFi signal is strongest ?

The Android phone would then be a VPN WiFi hot spot