Yes, it works quite well - For an example setup, this is my setup script [0] to bootstrap a digital ocean droplet + launch an openvpn container using this image [1]
Using openvpn with deluge in UnRaid as a container - runs flawlessly, and not leaking (re: data out of the VPN) as verified by firewall logs for 3 months now.
[0]: https://github.com/n-johnson/setup-openvpn-server
[1]: https://github.com/n-johnson/dockvpn