I don’t know what that app is referring to, but typically TLS interception means you install a root certificate from someone (in this case your VPN provider) on your device, and then they can use that certificate to decrypt your traffic and inspect it.
That definitely is not normal behavior for a VPN, and it is very unsafe for your security if that is what is going on.
If it’s not normal I am not sure, I have seen many universities and companies doing that. And indeed, terrible idea. Massive red flag, do not buy into it.
If you didn’t install a root CA it does seem unlikely, although a custom VPN client could install one as part of the install process in theory.
If you’re setting it consistently regardless of VPN it’s possible something else on your system is intercepting TLS traffic, which is worth investigating. Or yeah, it could be a false positive.