We study the $L^p$ boundedness of Riesz transform as well as the reverse inequality on Riemannian manifolds and graphs under the volume doubling property and a sub-Gaussian heat kernel upper bound. We prove that the Riesz transform is then bounded on $L^p$ for $1 < p < 2$, which shows that Gaussian estimates of the heat kernel are not a necessary condition for this.In the particular case of Vicsek manifolds and graphs, we show that the reverse inequality does not hold for $1 < p < 2$. This yields a full picture of the ranges of $p\in (1,+\infty)$ for which respectively the Riesz transform is $L^p$ -bounded and the reverse inequality holds on $L^p$ on such manifolds and graphs. This picture is strikingly different from the Euclidean one.