Firewall installs its own local VPN profile to perform on-device security checks.

iOS currently does not support multiple active VPNs, so most VPNs stop working once Firewall is enabled. 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 might enable your VPN to run alongside Firewall on some devices.

If your VPN occupies a slot in the Personal VPN section in iOS Settings > VPN and uses the IKEv2/IPsec protocols, it might become compatible with Firewall's VPN profile. Firewall must be set to DNS Proxy mode in the (...) button at the top right corner of the Firewall tab.

Even though there's no guarantee that this configuration will work out as expected due to iOS limitations, it's still worth giving it a try.