I just tried and it works

I used my own vpn subscription and get a free http proxy from sshproxies.org.

I added the following to the ovpn I am using

http-proxy xxx.xxx.xxx 8080

http-proxy-retry

From the log it shows connecting to this proxy then, after connected, it connect to the vpn server.

I then check my router using netstat and it only build a connection to the http-proxy server. Checked IP address and it is my vpn server address.

So I assume this worked.