Reading on the forum there are already few experiments for that but there is no tutorial.
Explaining better I was thinking to remove the original image and flash the OpenWrt https://openwrt.org/toh/hwdata/onion/onion_omega2plus image.
Before to do that I want to be sure that solution works because after all I am changing the image of the board.
Anyway my needs is to have a low cost device to get access with a VPN on a network without using the router itself.
I will use only to send wake on lan packets to the network so nothing very complicated or heavy on resources.
I checked also on the omega repositories and there isn't the openvpn package available so seems that the solution is compile or change the image.