The wget and dpkg commands on their website are adding an online repository that has the proton VPN package, which means it shouldn't matter what directory you're in when you run the final apt install command.

If you're sure you did a sudo update before trying to install it and it still says it can't be found, try doing a sudo apt search command to see if they changed the name of the package, so something like

Sudo apt search proton

Or

Sudo apt search proton-vpn

If it finds something, then sudo apt install its exact name. If it doesn't find anything, that might indicate the repo was not successfully installed, and you might want to try doing the wget and dpkg commands again and seeing if any errors pop up in the terminal.

I don't remember how I did it but I installed Proton on Mint without any issues.

What installers are you running? Are you following the instructions from their website?

There is also an unverified Flatpak. Use at your own discretion.

Are you able to download a wireguard or openvpn configuration file from protonvpn?

You can just import them into the Network Manager Application.