The machines attached to rooms on the TryHackMe platform are, with few exceptions, deliberately made to be vulnerable. As such, it would be very dangerous to expose them to the internet at large; therefore they are kept in an isolated network away from the wider network. The OpenVPN connection is used to give you access to this network.
(Note: TryHackMe provides an "attack-machine" for subscribers, which can be accessed directly in your browser, and does not need an OpenVPN connection as it is already connected to the network)
It is highly recommended that you use a virtual machine (VM) to connect into the network, rather than doing it on your host. Free hypervisors (used to run Virtual Machines) include VirtualBox and VMware Player. The recommended VM would be Kali Linux.