In the meantime I was able to create a MullvadVPN Proxy Qube which also (finally…) works.
There were problems with the DNS and I had no qubes-core-agent-networking tools installed.
But now I have another problem. My Mullvad app does not stay logged into the ProxyVM, meaning all configurations are lost after restarting the Qube. This means I have to log in again and again.
I used the following tutorial: Mullvad VPN App 4.2 setup guide
I have adapted it a little. I took a fedora-42-minimal as the template for the ProxyVM and installed the tools qubes-core-agent-networking, inotify-tools and mullvad-vpn. I created an AppVM from the template and made all the remaining configurations there according to the tutorial (Fix DNS, Wireguard MTU Issue). In the end, I set up my other Qubes, which should go through a VPN, accordingly and I now see that my ProxyVM has to be set up after every restart.
Does anyone know what the problem is? I first thought of gnome-keyrings but that was already preinstalled.