I haven't looked at this, but Android 5 requires compilation with PIE, so any pre-5 executable won't run.
If this is your problem (try running openvpn from adb and see if it starts or errors), try to follow the OpenVPN Settings instructions for how to extract openvpn from some other app, making sure it's one that is Lollipop-ready. This may not exist yet.
Last resort is to compile from source yourself.