Great you are loving OpenVPN.
After initialisation you can run a script to to something, in your case it could be creating a pop-up:
--up cmd
Run command cmd after successful TUN/TAP device open (pre --user UID change).
cmd consists of a path to script (or executable program), optionally followed by arguments. The path and arguments may be single- or double-quoted and/or escaped using a backslash, and should be separated by one or more spaces.
Be aware you need to set
script-security=2
to make this work.