Thank you for reaching out to the community, ExpressVPN uses Lightway, open source VPN protocol. Launched in 2020, it is similar to the WireGuard protocol, but uses wolfSSL encryption to improve speed on embedded devices such as routers and smartphones. It does not run in the operating system's kernel, but is lightweight to support auditing.
Sophos FW Offers to utilize SSL VPN where you can use the Sophos Connect Client to access the local resources from remote or you can use openvpn as a open source tool to access the local resources from remote.
You can use e.g. OpenVPN, L2TP, IPsec to connect TO your sophos fw and internal network but i guess you would like to connect your sophos to ExpressVPN and route all internal WAN-traffic through that VPN Service? Can you provide more details on what you're trying to reach?
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