Until very recently I would just go to Microcenter and purchase a cheap refurbished small form factor PC plus two Intel NICs and run OpenBSD. For less than $200 you have a fully functional router albeit at a higher power cost than a true appliance.

If you really need a small / low power usage appliance then some Ubiquiti devices run OpenBSD as I mentioned in another reply below.

Anecdotally OpenBSD also supports wireguard if that's a concern.

https://www.openbsd.org/octeon.html

https://marc.info/?l=openbsd-ports&m=152712417729497&w=2