It's possible that you are hitting the PKCS#8 private key issue.
If your private key begins with
-----BEGIN ENCRYPTED PRIVATE KEY-----
or
-----BEGIN PRIVATE KEY-----
then it's a PKCS#8 private key.
PKCS#8 private keys were not supported by PolarSSL (the SSL library used by OpenVPN Connect) until 1.2.8.
The upcoming OpenVPN Connect for iOS version 1.0.2 will support PolarSSL 1.2.8 and PKCS#8 private keys.
If you have an Android device, you can get a sneak-preview of this capability with the newly released OpenVPN Connect for Android version 1.1.12 which is built with PolarSSL 1.2.8.
James