XBOX live allows Skyplayer, However as I said IP address's can be blocked but VPN could circumvent this.
IF skyplayer on xbox is viable the simply reduce the quality settings during buffering via the 360 controller.
I have watched american programs via a VPN and they have been perfectly fine on my PC. I do believe its and extra £10 per month though otherwise only basic sky channels are allowed through. Much the same as Multiroom
As for using a VPN with an Xbox I don't know about that