[Tutorial 4.2&4.1] Mullvad Wireguard with Qubes

If the firewall rules are correct, it should work as expected. You can also add your VPN entry IP address to your VPN qube firewall to make sure that only requests going to the VPN IP can pass through (including DNS requests since they use the VPN tunnel).
You can look there for an example (follow the cli steps if you want more restrictive rules):

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