I run a pair of PiHole instances for DNS on my home network, and I periodically check the logs and look up blocked domains that I don't recognize. Every single time, it's a service that provides telemetry for mobile apps. It's insane how much data apps try to collect.
I tried something similar for a while. I had an OpenVPN server set up at home and would connect with my phone, so all my phone's traffic was behind the same protections as my home network. The main issue I experienced was when going through areas without cell service (which happens frequently where I live). I would have to restart my VPN client in addition to any apps that required internet connectivity. Not the safest prospect when you're streaming music and doing 70mph down the highway.
At this point, I don't have anything to protect my phone's traffic when I'm away from home. However, essentially every app on my phone is a FOSS package, so I think the biggest risk to data privacy is probably Google.
I'm using AdGuard. It does cost me about US$30 a year, but it's worth it to me. In the last week, it's stopped an estimated 192,085 ads and trackers saving me an estimated 2.1 GB of data.
It does occasionally block things that I don't want blocked, but it's easy to fix: you can either temporarily disable protection by tapping the notification in your, well, notifications, or you can use its Assistant feature to quickly find the thing that shouldn't have been blocked in the log and add an exception.