By default AdGuard for Android uses a local VPN for filtering, unless you set it to use a local HTTP proxy (which works best if you've rooted your phone).
The problem is Android only allows for one VPN to be used at a time, so it's not possible to run AG for Android's local VPN with another VPN. There's a couple ways around this... 1) use the local HTTP proxy (again, works best if you're rooted) or 2) if the VPN provider provides a SOCKS5 proxy, you can use that instead within AG for Android or finally 3) you can use TOR within AG for Android.