Some VPN providers don't even have exit nodes in the country they're claiming. Instead they'll have their IPs registered to the respective countries in GeoIP databases.

This isn't a practice all VPN providers partake in. And from my own anecdotal experiences, Mullvad seem to be using services that are geo-located (I say this because I've tested latency between different endpoints in Mullvad). But it is something to be wary of with some of the less reputable providers.