Nope, the communication with the modem happens over USB via QMI and AT protocols. You can consider its network interface as a regular Internet connection (at least until MMS support is implemented, depending on what you want to filter out that may require allowing some stuff - but it’s not there yet anyway).
I read that ufw is based on iptables, but iptables has a successor: nftables. Now I wonder if ufe is still a significant simplification compared with nftables and if ufw is still based on iptables or has switches to nfrables. AFAIK nftables has an iptables compatible cli for ease of migration.
And if you are setting up firewall rules, you need to think about the two different network interfaces (the WiFi and the cellular modem) and whether there is anything that you want to be allowed in one and not the other.