I had this issue with my custom build (kodi on top of raspian)
I had to install openvpn on raspian:
Apt-get install openvpn.
Then install openvpn from one of the main repositries available in Kodi. Add settings and voila.
Issues:
Keyboard is fine untill I want to go back in console to start something else up i.e. moonlight.
Controller dont work at all. I have to remove openvpn from rasbian everytime I want to play games.