If you’re interested in that level of control, it’s time to look hard at GrapheneOS. “Internet” is a permission you can grant or deny for each app, under GrapheneOS.
But I’m not aware of a way to selectively direct phone traffic through Proton VPN, at the phone. Even on GrapheneOS.
Enough skill with an expensive router could do it, but only on your home network, or only while routing all of your phone traffic back to your home network via yet another VPN.
Edit: TIL, Proton VPN supports split tunneling. Sweet! Look under Settings - Advanced - Split Tunneling - then pick your apps to include/exclude.
Edit 2: TIL DivestOS also supports “Internet” as a per app Permission. Very cool.