PiHole + OpenVPN VPS configuration

Need help with configuring PiHole with OpenVPN.

I have already checked Installation - Pi-hole documentation.

The doc, above, tells me that I need to use tun0, my network has eth0 instead, on 10.0.0.5, so that is what I chose for my installation.

I'm running OpenVPN on Azure which was deployed from the Azure Marketplace.

The doc tells me to change the conf file under /etc/openvpn, but no such file exits there, I've tried looking in /usr/, /bin, /sbin, /opt/ etc...

I don't really understand what is going on, but I know for certain OpenVPN is installed since my VPN works.

Also, accessing the PiHole panel works, but it is kind of weird.

If I go to http://10.0.0.5/admin I get the OpenVPN admin panel, but if I go to http://10.0.0.5 I get the PiHole panel that says "Did you mean to go to the admin panel?", if I click that prompt it sends me to http://10.0.0.5/admin which is the admin panel of PiHole. If I use the public IP of my VPS instead of the network interface it works fine for OpenVPN.

Of course, ad blocking doesn't work, and I also set the IP on Azure to be static as the Pi Hole installer told me to do.

I'm worried if I do apt install openvpn it's going to mess up with my installation.

OpenVPN is not the same as OpenVPN Access Server.
The former is free, the latter is a product with a licence for two free VPN client connections - if that's not enough, you'd have to purchase additional licences (in batches of 10 at a time or so, IIRC).

The guide refers to the free OpenVPN.

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