Yes you can go ahead and deploy any Network Virtual Appliance (Router) which has OpenVPN capability to set up Client connecting directly to your router in Azure where you can configure to advertise 0.0.0.0/0 route to your clients.
You don't need VPN gateway or any Azure managed service to do this setup. Azure has a product called vWAN which you can leverage to perform Force tunneling of clients traffic to Internet to P2S gateway and also to Azure Firewall, You can pick any of the above solution to achieve your setup.
Regards,
Karthik Srinivas