Append the following two lines to the lxc config file on your Proxmox host.
You’ll find the config here: /etc/pve/lxc/container_name.conf
Got this info from here and it works fine.
lxc.cgroup.devices.allow: c 10:200 rwm
lxc.hook.autodev: sh -c "modprobe tun; cd ${LXC_ROOTFS_MOUNT}/dev; mkdir net; mknod net/tun c 10 200; chmod 0666 net/tun"
There is just one line necessary for the openVPN installation.
wget https://git.io/vpn -O openvpn-install.sh && bash openvpn-install.sh
If you want to add another profile, just run the installer again:
bash openvpn-install.sh