As the title says, I found a way to use Proton VPN with Custom DNS on Mac.
Use Proton VPN as you are using, Then install Little snitch, Go to settings, then DNS, and add DOH or DOT address. I checked the logs and it’s working completely fine, i also run DNS leak test and it’s showing my custom DNS.
https://drive.proton.me/urls/33YTWGMXZ0#Xod6WqeXx3Zz
If you Don’t want to use Custom DNS but want a better adblocking then Netshield, you can add blocklists of your choice. I use Hagezi Ultimate and i’m getting 97% adblocking result on d3ward website. Netshield is around 72% right now.