OpenVPN relies on the crypto of the underlying SSL/TLS-library.
This way there are serveral development-models available, based on the SSL-library of choise.
The dutch government choose to support OpenVPN, based on PolarSSL and their choosen crypto-suites.
You can check which crypto- and authentication-models are available by using:
openvpn --show-tls
and
openvpn --show-digests
As far as i can see, openssl does support this since June 27, 2012. So you you add the patches or the correct compile-options when building openssl and then build openvpn against your openssl-build, openvpn will support the FIPS140-2 criteria.