Volvox can actually be considered both an algae and a protozoan.
A key thing about protozoa is it is not a monophyletic group. To be considered a protozoan, an organism just has to be a single-celled eukaryote that is not a plant, animal, or fungus (as algae, Volvox is not a land plant and can still be considered a protozoan). So you can have protozoans all over the tree of life.
What makes Volvox an algae in addition to a protozoan?
1) It uses chlorophylls and other pigments for photosynthesis
2) It stores starch inside plastids
3) It has a cellulose cell wall
4) It has a flagellum structure characteristic of green algae
5) Its genetic information is more similar to green algae than other clades