Certain routers block Mullvad's website and API, and calls it "malware".
Some routers from Asus and TP-Link include a DNS filter from Trend Micro which blocks Mullvad because using Mullvad will prevent their filter from working. To turn it off follow these instructions.
ASUS: Go to AiProtection > Network Protection > turn off "Malicious Sites Blocking".
TP-Link: Go to HomeCare or Security > Antivirus > turn off "Malicious Content Filter".
Some Verizon Fios routers contain McAfee Home Network Protection which can also block Mullvad. In that case turn off Parental controls.