Setup OpenVPN and Shadowsocks (Python / Node.js) on your server.

Setup OpenVPN client and Shadowsocks(Python / Node.js) on your local machine.

Connect Shadowsocks.

Add these lines to your .ovpn file:

socks-proxy 127.0.0.1 1080
route SHADOWSOCKS_SERVER_IP 255.255.255.255 net_gateway

Then connect OpenVPN.

Notice: only versions that support UDP relay support this feature.