Man I have the exact same issue. OpenVPN (GUI or Connect) are not working with my employer OpenVPN Server (it was with the previous one though), so I use openvpn under wsl ubuntu and it's working fine, but then, some graphical apps are working fine, some are not.
I tried everything such as installing WSL GFX drivers (intel and nvidia), installing drivers / libs under wsl ubuntu, but no change.
Some people talk about the WAYLAND_DISPLAY against DISPLAY export variable, I tried but nothing changes. Some people also talk about the firewall but really everything is correctly setup.
In my case, chrome is not starting (same error as you), but firefox is working (but errors are raised regarding the hand cursor though).
Gimp is starting, but VLC is not.
And so on.
The only thing that worked is installing vcxsrv on windows (run with access control disabled), and add the following in my ~/.bashrc :
export DISPLAY=$(route.exe print 0.0.0.0 | grep 0.0.0.0 | head -n1 | awk '{ print $4} '):0.0
export LIBGL_ALWAYS_INDIRECT=1
Then all seem ok.
Btw why are you running your vpn under wsl ? Can't you run it under windows directly ? In my case it ' s not working and all this is a workaround of that root issue.
Good luck with your troubles.