Firewall installs its own local VPN profile to perform on-device security checks.
iOS currently does not support multiple active VPNs, so most VPNs fail to work if Firewall is enabled and vice versa. Also, if you connect to a VPN, Firewall will be turned off by the iOS automatically.
The good news is that there's a setup that lets you run Firewall alongside certain VPN profiles.
If your VPN occupies a slot in the Personal VPN section in iOS Settings > VPN and uses the IKEv2/IPsec protocols, it becomes compatible with Firewall's VPN profile, and they can both work simultaneously.
Firewall must be set to DNS Proxy mode in the (...) button at the top right corner of the Firewall tab.