I originally posted the question to the Qubes mailing list but the issue seems like Whonix specific issue now:
Mullvad VPN over Tor on Debian AppVM → MullvadProxy → sys-whonix → sys-firewall → sys-net works like a breeze.
The anon-whonix AppVM → MullvadProxy → sys-whonix → sys-firewall → sys-net chain doesn’t get any connection.
The only difference is the first AppVM. I tried Fedora and Debian AppVMs and those work well, without any issues. The anon-whonix doesn’t.
Code to set up the VPN is the one below.
Any ideas how to solve that?