If you have set it to maximum security, "which will block most applications except web browsing, email, iTunes and VPN." , try reducing it to typical to see if you then can connect. Or use port 53 for WireGuard / OpenVPN to connect.
This is a quick guide to get Mullvad up and running with pfSense 2.4.0 or later.
Connect to our servers while using IPFire.
How to setup your Asus router running Merlin to connect to the Mullvad VPN servers.
Set up a router to use DD-WRT for connecting to the Mullvad VPN servers.
Set up a router with OpenWrt and connect to the Mullvad VPN service.
How to connect to the Mullvad VPN servers using a Tomato router.