Hi,
Even though you are able to connect from Azure to On-Prem via OpenVPN from the OpenVPN server, other VMs don't have the route to reach On-prem so the packets just drops.
So you need to add a route table in Azure , stating if the destination is 10.0.0.0/23, next hop as Interface of Open-VPN server. So the traffic reaches, OpenVPN server in Azure, and all you need to do is to route to On-Premises by configuring the sevrer.
Regards,
Msrini