It makes little sense why it works on an offsite WiFi, but not mobile data.
I’d agree with unbuckled above, it’s a DNS issue. If your mobile device is capable, use nslookup or dig to see what responses you are getting in different scenarios. It’s possible that your VPN software is leaking DNS queries out to the mobile data provider’s DNS servers while you are on mobile data and only using the correct DNS settings when you are on wifi. Possibly look for split tunnel settings in the VPN software, as this can create this type of situation.
You can also confirm this from the pihole side. Connect to the VPN via mobile data and browse to some website you don’t use often, but is not your own internal stuff. Then open the query log on your pihole and see if that domain shows up. I’d put money on that query not showing in the pihole query log.
It depends on what your goals are.
Ultimately, it’s going to come down to what you are trying to do and why you want to run multiple Operating Systems. For example, my main system is running Linux. But, I want the ability to run Windows malware in a controlled sandbox (not a euphemism, I work in cybersecurity and lab some stuff for fun). So, I have KVM setup to run Virtual Machines, including Windows.
For another example, prior to making the switch to Linux, I had Windows as my primary OS and booted Linux on a USB stick (not Ventoy, but close enough). This let me gain confidence that I would be able to make the jump.
I don’t have a good example for dual booting. Maybe something like a SteamDeck where you want a stable, functional OS most of the time; but, have some games which will only run in Windows.