What can a site learn from your IP?
Your provider assigns a public IP to your connection. That alone tells a site your country, and often your city and provider as well.
Ad companies find it easy to link visits from one IP across different sites into a single profile.
What changes when the VPN is on?
While it's on, sites see a CoxVPN server's IP in place of your real IP. Set the dial to Japan and you appear in Japan; set it to Germany and you appear in Germany.
Once connected, reload this page and see whether the address and country have changed.