I cannot run VPN (OpenVPN) after I update iPhone to iOS 16.5

Possible Solution: Go to Settings > VPN and turn on the VPN through the Status button.

I was having the same issue with my iPad Pro. The OpenVPN app just sat there spinning trying to connect. Killed the app and went into Settings>VPN and turned it on from there. After turning on the VPN from Settings app, the OpenVPN app works turning the VPN off/on. The app will keep working until you actually shutdown the app (not in background) then you have to use the Settings method to start it again.

Please contact the VPN service provider.

Do you have Private Relay on too? Maybe that is the issue. Just a thought. Check iCloud settings.