Not in a comfortable way unfortunately.
You can launch an app through the Mullvad app which then will be launched bypassing the VPN until it is closed. You cannot permanently blacklist / whitelist specific apps to always / never be routed through the VPN.
Edit: Didn't see the community. On Android it seems to feature a whitelist for apps to not be routed through the app, which seems to be permanent. Not sure why the desktop version does not have that.