Even better, with Mullvad you can now use WireGuard instead of OpenVPN, for considerably better performance and possibly better security. I've configured my EdgeRouter Lite to route all wifi traffic on my default home network through WireGuard for a couple of weeks and it has worked very well.
You can use open-source OpenVPN with any VPN service that offers OpenVPN connectivity. You can also use AirVPN's client Eddie, which has a pretty decent built-in firewall.
https://www.mullvad.net/blog/2017/9/27/wireguard-future/