- Edited
I forget where Mullvad is based
They are based in Sweden.
dlb I have used Mullvad for several years and I am quite satisfied with their services (speed, broad choice of servers, Wireguard, FOSS and audited client, privacy-respecting means of payment, minimalist account creation). They seem to be transparent about their operations.
I cannot say for Proton VPN; never used it.
Whatever provider you choose, do not rely on them to hide your identity online. For that, you should use other tools private by design.
I recommend reading the PrivacyGuides VPN overview page and their VPN comparison.