Is your OpenVPN instance running on the same server as the PiHole? Maybe your firewall is not allowing non-local connections. Try this
sudo apt-get install ufw
sudo ufw allow 22
sudo ufw allow 53
sudo ufw allow 80
sudo ufw allow 443
sudo ufw allow 8080
sudo ufw allow 86
sudo ufw allow 9090
sudo ufw allow 8999
sudo ufw allow 8081
sudo ufw allow 139
sudo ufw allow 445
sudo ufw enable
YOU MUST ALLOW PORT 22 ELSE YOU WILL NOT BE ABLE TO SSH IN