If you set the Protocol to TCP or UDP in the Settings app, it still requires that the .ovpn config file declares a server for that protocol. For example:
remote myserver.tld 1194 udp
remote myserver.tld 443 tcp
However if you set the protocol to UDP in the Settings app, but there's no "remote ... udp" line in the .ovpn file, then OpenVPN will not know how to connect to your server using UDP.