Hi Kevin,
I returned the ax11000 and bought another router that supported a VPN client.  Based on your recommendations, I bought a new AX3200.  

Archer AX3200(US) Ver. 1.6

S/N: Y20C012001853

I upgraded the firmware to version 1.1, which includes the VPN client.  The original firmware 1.0 does not have the option.

I have a subscription to Cyber ghost.  I create a router connection, download the Open VPN configuration file, and define the VPN connection on the AX3200.  

Upon establishing the link, the router says, "Connecting."  But there is no VPN connection.  I did assign my workstation to allow VPN usage.

I tried three different configurations using UDP, TCP, and IP sec.  All three connections result in the same message: "Connecting."    

I did a ping the Cyber ghost VPN server here is the reply:

PING : 64 data bytes
Reply from 184.170.240.199: bytes=64 ttl=54 seq=1 time=86.462 ms
Reply from 184.170.240.199: bytes=64 ttl=54 seq=2 time=65.878 ms
Reply from 184.170.240.199: bytes=64 ttl=54 seq=3 time=87.210 ms
Reply from 184.170.240.199: bytes=64 ttl=50 seq=4 time=111.839 ms
--- Ping  ---
Packets: Sent=4, Received=4, Lost=0 (0.00% loss)
Round-trip min/avg/max = 65.878/87.847/111.839 ms
ping is stopped.

What version of Open VPN client is the router using?
Is there a file log that will tell what is happening during the connection attend?
Do you have any experience connecting to a VPN service provider?  Cyber ghost? 
Do you have any suggestions on how to accomplish these connections?

Do you have a way to test this connection in your lab?