I believe your doing it wrong.
You probably configured the WAN DNS part of the router to point to the Pi-hole IP.
Do you have a screenshot ?
Proper way is to push the Pi-hole IP address as a DNS server to its clients through the DHCP service on the router or use Pi-hole's DHCP service.
Same for OpenVPN, openvpn needs to push the "tun" interface IP address through DHCP to its clients to be used for DNS.
All the Pi-hole daemons will be waiting listening on whatever IP because they listen to all 0.0.0.0.
Have you read that OpenVPN howto ?
Am a bit rusty as been a while for me with openvpn.
EDIT: Ohw and the "nslookup" commands on the clients will tell what DNS server(s) they use.
And linked to the howto 