You can use a Mac mini, provided it is an Intel Mac mini and not an old PowerPC Mac mini.
I looked at the Thunderbolt to Ethernet adapters that Barry mentioned, but there were many reviews where ordinary Mac users complained that they got hot and failed often. ... and that was for ordinary use, not as part of a Sophos UTM firewall.
In the end, I settled for a USB 3.0 to Gigabit Ethernet adapter. You can find them at low cost (I found one for $US 13 at Amazon). If you use it for the public side and your Internet connection is not very fast, you can try a cheaper USB 2.0 to 100BaseT Ethernet adapter. The 2012 and later Mac minis support USB 3.0. Earlier Mac minis support USB 2.0 only.
My configuration is a little more complex than that. I use the Mac mini as a server, and the Sophos UTM for the home network runs in a virtual machine on that same Mac mini. There is a detailed description of how it is configured here: