Hey there,

yes. You can do that - but not the quick way.
Firstly: Yes, I am aware of what the founder did with his money - and I am not a fan of that. I do have a rest time on my account and want to use it up. It's paid in the end anyway already.

The easiest to do this is going to the Mullvad website and log in with your number.
Go to Linux downloads, and you'll easily find the "WireGuard" option - as you cannot install Mullvad VPN on SteamOS out of the box.

After creating a key and choosing the server you want to use, download the configuration file. Right-click the Wi-Fi / Internet symbol in the taskbar and go to network settings. Add a new connection and upload the configuration file into it.

In your original connection you can choose to automatically connect or not. I decided not to - I just need it for… specific reasons… :D

Disclaimer: Be aware using a VPN or other technique to bypass your region to get cheaper prices for games, Steam will ban once they caught anyone doing that.

Edit: Added VPN to title as there is a community project for the Mullvad Browser.