using OpenVPN and sockd to convert openvpn connection into a socks proxy server
docker run -it --rm \
--device=/dev/net/tun --cap-add=NET_ADMIN \
--name openvpn-socksify \
--volume /path/to/configs:/etc/openvpn/ -p 1080:1080 \
openvpn-socksify
Note: your config folder can contain .ovpn configuration files.