Is it a torrent client, by any chance? Those can still work without port forwarding, if the swarm member you're sharing data with (regardless of direction) has

Is it a torrent client, by any chance? Those can still work without port forwarding, if the swarm member you're sharing data with (regardless of direction) has an open port on their side. Try creating a new torrent with some random file, seeding it from a Mullvad device and downloading it from a different Mullvad device. That should only work if you have port forwarding set up (or if you're not actually going through Mullvad - you will see that by the peer IP in the torrent client).