Isn't it possible to configure the Pi Hole separately for each device (phone, laptop) instead of having it for the full network? That is why I didn't change any setting in my router.
That's what I did and the ads in Yahoo.com & from google ads were both showing (I tried in two devices).
And the devices connected were well showing in the list of clients of the dashboard.
Is there something I need to do like adding some blocklists?
After connecting my Android phone to the Raspberry Pi OpenVON I do see the OpenVPN connexion.
So in my phone I opened chrome, went to Yahoo News, and I did see ads.
You can see in the picture below there are somehow just 2 queries for that client:
Check your browser configuration: Browsers may by-pass configured DNS servers if their settings would enable DNS-over-HTTPS (DoH).
Also, it is not clear from your description what machine in your home network would handle your OpenVPN connection. You should verify that your OpenVPN server is pushing Pi-hole as DNS server, and also that it would cover IPv4 and IPv6 connections - depending on the configuration of the OpenVPN client, that client may be able to by-pass OpenVPN via IPv6.
The same may apply to your local home network if your router would advertise an alternative IPv6 address as DNS server instead of your Pi-hole's.
Thanks a lot for your answer it does help a lot and I am making progress.
I was actually using DNS over HTTPS when I did the test from my laptop. I tried again from another browser where DoH wasn't set up and it did work I could see the requests in the admin panel and some ads blocked! So thanks a lot.
So the good news is that it works on my desktop, and later on I managed to make it work on my Android device.
Here what I tried on my device (and didn't work):
To put the Raspberry Pi local IP address (192.168.0.71) as a DNS in the WIFI settings
A few android apps that uses the VPN feature to connect to the DNS (I tried "DNS Changer (No Root)", "DNS Changer: No Root IPv6 - IPv4", "Engelsiz: DNS Changer", "DNS Changer: Mobile Data, Wifi"