Wireguard is a VPN protocol that's supported by Mullvad if you wish to use it.
Discussion
Excuse my ignorance, but isn't Mullvad a VPN already? What does using Wireguard with it accomplish?
Just like TCP and UDP are protocols used for the internet, OpenVPN and Wireguard are protocols used for VPN.
TCP is used mostly for serving websites, UDP is used more for gaming online.
OpenVPN and Wireguard are competing technologies, but Wireguard is objectively better except in terms of compatibility, OpenVPN is older and much more supported across the internet.