Can I choose the location of the VPN proxy serer?

No, I don't think so. At least not right now.

You will have to use the Mozilla VPN application to be able to select the exit node. The built-in Firefox VNP merely act as a secure proxy. *https://support.mozilla.org/en-US/kb/built-in-vpn *https://www.mozilla.org/products/vpn/resource-center/the-difference-between-a-vpn-and-a-web-proxy/