Since I don't use Mullvad, I gave the gluetun github wiki a read to configure my provider. Mullvad doesn't need it, but for mine you needed to place 2 files with your keys and certs on your config folder.
The problem is that the yams docker-compose file has:
But according to the gluetun github wiki, you need:
Maybe I'm wrong and it's ok either way, but I only got it working when I made that change.