First of all, does openVPN work for you?
If not, you would have to allow the necessary connections within your Little Snitch Configuration. You can create a new rule via ⌘N, choose your openVPN process and allow all connections which are necessary to use openVPN.
If it already works, you can create deny rules for these incoming connections you are experiencing.
If you have any problems, you can contact our tech support team: https://obdev.at/support/index.html?pro ... c=question