For running openvpn server (or client) in CT you need to create tun (tap?) device.
In lxc config of container add line above. In proxmox we can find configs in /etc/pve/local/lxc/
lxc.cgroup.devices.allow: c 10:200 rwm
Then [re]start container and create tun device inside it. You can login into container or use proxmox tool pct
:
pct exec 100 mkdir -p /dev/net
pct exec 100 mknod /dev/net/tun c 10 200
pct exec 100 chmod 600 /dev/net/tun