zaivala Check out my answers above. Also, you can install openvpn from the software center, download Mullvad VPN's configuration files, and add them to /etc/openvpn.
Or, you know, you can literally follow the guide on https://www.mullvad.net/en/download/config/, selecting "Linux" on the platform submenu. You can install openvpn on Solus via either the Software Centre or by typing sudo eopkg it openvpn
in your terminal.
This way, you can simply connect to your VPN servers using the Internet Connections menu (on top of your internet connection, you will select and connect to a VPN server). At least I can see my VPN options in my Connections menu after that setup on Plasma. Not sure if the same exists on Budgie or not. Maybe someone who is currently on Budgie can help there (just to see if networkmanager-openvpn works with Budgie or not).