Is there any VPN which is compatible with iPhone/iPad and works WITHOUT GRE protocol (my router not support GRE)
Check out Apple KB article HT1288. Cisco IPSec, Juniper Junos Pulse, Cisco AnyConnect and L2TP/IPSec VPNs are supported either within the iOS or via third party apps in the app store. See if you can set up an IPSec/L2TP VPN behind your router. This excellent and detailed thread at LinuxQuestions.org shows how a fellow created an L2TP IPSec VPN on an Ubuntu box for his iPhone to connect to.