check out our connect and disconnect task feature:
Let me know if this helps.
I'm not familiar with OpenVPN but I suppose they have some kind of command line interface which should support opening/closing of VPN sessions.
If that's the case, you can leverage command tasks to integrate OpenVPN into your workflow and either manually open/close VPN using the task or automate it using the Connect/Disconnect task configuration of your connections.
Alternatively, if there's an AppleScript interface for OpenVPN you can also integrate that into Royal TSX.
Please let me know if that helps!