The US has some of the laxest data retention and filtering laws in the world. Especially compared to most European countries. Mullvad is based in Sweden which has much more strict data retention and filtering requirements for ISPs than in the US and the government has already expressed a desire to expand these to VPN providers.

And as the Snowden leaks have shown being located outside the US is not even a speed bump to the NSA being able to access your communications.