I don't know if this is related but some games I played also have slow connection if I choose WireGuard over OpenVPN on my Mullvad. Sometimes failed to connect after multiple retries. Their servers are located in China though, so other factors might be at play here. That being said, I used Proton with WireGuard as of now and I've found no problems at all. From my limited experience, Proton is quite okay for gaming unless you need very low ping (keep in mind that the servers you choose will affect this too). CMIIW.