Using VPN client applications on macOS, iOS and Windows cannot route the whole traffic to the VPN tunnel. Kill switch functions also fail to prevent whole traffic leaks as expected. You can check this link. As far as I understand, these security vulnerabilities seem to be less prevalent on other OSs. Frankly, if I were an iPhone user, I would carry a portable Wi-Fi router with me.
I don’t think there will be a problem with this. At most, you might encounter issues related to the MTU size, but if the MTU size is set to automatic in the Mullvad application settings, I don’t think you will encounter any issues. In fact, I think this method seems like a more private solution than the multi-hop setup recommended by Mullvad. Because Mullvad’s website clearly shows each server’s unique and static multi-hop port number. Anyone spying on the network can easily identify the user’s exit server. The adversary spying on the network doesn’t even need extra technical knowledge.