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 if you are a subscriber, TryHackMe provides already-connected instances of Kali Linux, removing the need to use OpenVPN. These non-persistent instances can be interacted with via the following means:
Directly within your Browser
Remote Desktop Protocol (RDP) (I.e., Remmina for Linux or Microsoft's RDP client if using Windows)