Hi Henrik,
My name is Anthony Hu and I am a member of the wolfSSL team. I see you are using the STM32CubeIDE but do not have wolfSSL.I-CUBE-wolfSSL_conf.h. In that case you need to enable wolfSSL in the project's .ioc file. Also, when you close the .ioc file, please make sure you tell the IDE to generate code.
I'm not sure how our zephyr integration works with STM32CubeIDE. I will consult with my colleagues to learn about this and get back to you.
Warm regards, Anthony