Thanks for the edit and thanks for finding that issue!
That’s indeed exactly the same problem I’ve faced.
So the problem is that wireguard is supported natively in NetworkManager, therefore it’s not recognized as a VPN and for this reason can’t be set as a secondary connection.
The solution that I found from that same topic is to enable autoconnect for the wireguard connection and decrease the priority of the wireless connection:
$ nmcli connection modify myvpn-wg connection.autoconnect yes
$ nmcli connection modify WLANEG connection.autoconnect-priority 1
Thanks again for helping me out!