Episode 1 starts with the interrogation. During this interrogation, the government official in Berlin declares that the state cannot be wrong. Even if it means spitting in the face of real justice, the state cannot be wrong.
What do we know about Varga? He travels around the world meddling in billion dollar businesses. He has information/intelligence gathered about anything and everything he wants. He has a group of enforcers that spans much further than a few henchmen (think last meeting with Stussy, where at least 20 men are in the house with guns).
He says in the last scene that someone with more authority than Burgle is going to come in and say to release him immediately, and that there will be nothing she can do to change that.
I believe Varga works for the government in some way. A government just as corrupt as Berlin in episode 1.
Edit: Almost forgot, Varga’s attire is a brown trench coat, famously depicted as being used by spies and cia.