I don’t know if the following should be done, or not, in the present particular case…
But I installed the packages related to CLAT discussed there:
https://forum.sailfishos.org/t/testing-clat-for-ipv6-only-mobile-networks/14520/73
and my ProtonVpn connections seem to be working now.
IPv6 disabled in VPN settings because of leaks. Tested with https://ipleak.net/.