Simlpest way to create a VPN connection for dockers, VMs, and streaming devices?

[btrcp2000]

Usually when I read enough things will beocme clear, but that's not happening in this case after several weeks.  I have never used a vpn before, but have recently been playing with mullvad.  FIgured I should start with wireguard since that's where everything seems to be headed.  I am able to use the mullvad app on windows and android so far, testing with ipleak.net, so I understand that part.  I would like to create one tunnel through which certain devices, dockers, and VMs would travel when I need VPN, but other work/school computers need to stay out of it.  I have UNRAID with plenty of resources, and a Ubiquiti Dream Machine Pro. In my mind, all I'm looking to do is set up a connection through Mullvad (or something better, i'm open to suggestions), and the point stuff at it somehow, but with easy access to change the exit point location if needed, as sometimes Mullvad IPs get blacklisted, which I assume happens to all providers from time to time.  I have seen plenty of great tutorials by SPace INvader one, Capt Chaz, Juan M, etc, but I can't quickly discern which approach would be best for this.  Or if I'm already way off course.

 

Am I better off by building this tunnel inside a docker, UNRAID-hosted VM, or the UDMP itself?