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.
Certain routers block Mullvad's website and API, and calls it "malware". Some routers from Asus and TP-Link include a DNS filter from Trend Micro which blocks Mullvad because using Mullvad will prevent their filter from working. To turn it off follow these instructions. ASUS: Go to AiProtection > Network Protection > turn off "Malicious Sites Blocking". TP-Link: Go to HomeCare or Security > Antivirus > turn off "Malicious Content Filter". Some Verizon Fios routers contain McAfee Home Network Protection which can also block Mullvad. In that case turn off Parental controls.
Open the .ovpn file in a text editor and remove the line "tun-ipv6" before you import it.
This is a quick guide to get Mullvad up and running with pfSense 2.4.0 or later.
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.
This is a guide on how to set up pfSense to use WireGuard.