The short answer is: you can’t do this.
The long answer is: you need to go through the process of getting a server you own and have provisioned installed at some colocation/datacenter place. It will be expensive to buy the server, expensive to buy rack space, and you will need to go through significant background and security checks in order to be allowed by the company to do this.
If that sounds terrible, and it is, you can use an overlay network like nebula. It still requires that you have a “server” somewhere, but you can use a $10/yr vps to host that. Your “server” is, in nebula’s terminology, the “lighthouse” node. All it does is punch through nats so people who connect to your overlay vpn are able to see each other.
Your vps provider can still see your data on the lighthouse though, so don’t keep your root certificate on it and use unique credentials. Traffic doesn’t flow through the lighthouse, so you don’t need to worry about snooping, but it’s possible for the vps provider to add themselves to the trusted certificate and get on your vpn. So you have to have good security on your internal network.