pingu-the-penguin would try without a VPN and see if that fixes anything.
No, thanks. This isn't a major problem for me. I was just providing another data point in case it would help the OP.
But I'm happy to answer your other questions:
Do you have WiFi Control disabled for any apps?
No
Do you have notifications for your apps that aren't properly notifying you set to silent?
Yes
Do you have the Mullvad VPN connection status persistent notification disabled?
Yes
Do you have notifications on the lock screen set to off?
No
Do you have wake screen for notifications set to off?
No