Hi. Help please rebuild the firmware with support for OpenVPN, you can exclude Luci, if there is little space, max 4Mb.
https://lede-project.org/toh/hwdata/tp-link/tp-link_tl-wr940n_v3
Unfortunately, the 4/32 warning applies to your router.
https://lede-project.org/meta/infobox/432_warning
You might look into Image Builder...
https://lede-project.org/docs/user-guide/imagebuilder
Otherwise, purchase a router with more flash and ram.