It is a little bit clear now. But still confuses.
You said router is connected to ProtonVPN and you want to connect to PiVPN on your phone.
So it seem like this
Phone > Router > Proton VPN > PiVPN > PiHole
But seems your setup has problems.
- All of your data will go through your PiVPN finally and the website will think you are using Internet at home.
- Your carrier will know you are using ProtonVPN, not using your home vpn. But does this matter if they know you are using your home VPN? If does not matter, just connect the router to your home VPN.