I have heard good things about this one. But i think this one of those no root firewalls that uses the vpn, so I figure this means I can't use a VPN at the same time.

An alternative android root only option is afwall+ which allows blocking on lte, WiFi, lan, and VPN separately, and script access to iptables. Not sure how actively developed it is, but it seems to work ok.

*edit: Seems to still be active, open source, and available on fdroid too.

https://github.com/ukanth/afwall