Probably your VPN provider is pushing a new default route to pfSense and that changes what Unbound uses to query root servers.
That is assuming you're running Unbound and it's in resolving mode.
That's not double NAT though unless your VPN provider is also giving you a private IP address.
You could try setting a static DHCP lease for the PS4 and handing it a DNS server to use directly rather than using Unbound in pfSense. If you already have policy routing in place for it then all it's traffic, including dns queries, will use the WAN dircetly regardless of the VPN status.
Steve