I have done what you are looking for on OPNsense. And I’m pretty sure it can also be done with OpenWRT.
You will need to setup multi WAN and setup some static routes and use your RoadWarrior setup.
Aka you want this:
Phone › Via Wireguard › OpenWRT › Via Wireguard › VPN provider
I don’t have a guide on how to do it but I will try to find one and update this comment if I do. But here are some Guides that might help you in creating it!
MullvadVPNs OpenWRT Guide for Wireguard (Should work with other providers)
I’m also including the guide to setup Roadwarrior & External VPN provider for OPNsense so you can get a idea of how it should be done and work
OPNsense guide I used to create my Wireguard WAN









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