By closed tunnel, do you mean a Full Tunnel (all traffic from the client must go through the UTM)? Firstly, to let you know, modifications done at the backend are unsupported and will void your support if you have a paid license. That being said, it might work. Depends if configuration changes to the OpenVPN server config need to be made as well. If we're good there, then you may need to create a policy route for the traffic to the proxy server. May also need natting, depending on your network configuration. Another option would be to use the UTM Web Proxy with the VPN clients having their own Profile and setting parent proxy in the Filter Action used.
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