Hello @bug,
The Peplink/Pepwave routers do not directly support OpenVPN currently, there is a feature request here that you may like to add your voice to.
You can have an OpenVPN Service running through the Peplink/Pewave range much like any other service, in simple terms you just need to setup the correct firewall rules established on the Peplink/Pewave device to pass the OpenVPN traffic through to your own OpenVPN server.
We would recommend that you get in contact with your local Cerified Peplink Partner here, just select your required region.
https://www.peplink.com/peplink-certified-partners/#AS
Out of interest, why are you using OpenVPN, have you considered looking at the Peplink solution of PepVPN & SpeedFusion?
Happy to Help,
Marcus 