Потому что nmap не сканирует UDP по умолчанию
добавьте опцию -sU
-sU (UDP scans) .
While most popular services on the Internet run over the TCP protocol, UDP[6] services are widely deployed. DNS, SNMP, and DHCP (registered
ports 53, 161/162, and 67/68) are three of the most common. Because UDP scanning is generally slower and more difficult than TCP, some security
auditors ignore these ports. This is a mistake, as exploitable UDP services are quite common and attackers certainly don't ignore the whole
protocol. Fortunately, Nmap can help inventory UDP ports.
С другой стороны на стороне сервера запустите
netstat -nlp | grep openvpn
и увидите что именно слушает openvpn сервис.
Ну и последнее загляните в
iptables -nvL 
