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 is compatible with Firewall's VPN profile, and they can both work simultaneously.