Comment by hnlmorg

Some VPN providers don't even have exit nodes in the country they're claiming. Instead they'll have their IPs registered to the respective countries in GeoIP databases.

This isn't a practice all VPN providers partake in. And from my own anecdotal experiences, Mullvad seem to be using services that are geo-located (I say this because I've tested latency between different endpoints in Mullvad). But it is something to be wary of with some of the less reputable providers.