What you describe is basically what i was/am looking for, and what i've successfully been using for about half a year now. Albeit not via iptables. There's another, and much simpler way of accomplishing it: Via proxy-settings.
And that's where it gets a bit 'tricky' with OpenVPN clients, depending on which platform you work with. The iOS-app has got the needed proxy-setting ("dhcp-option PROXY_HTTP") implemented already since last year, while the Android-app still doesn't have that same option yet. After the update of the Android OpenVPN Connect app a couple of weeks ago, still no luck... 🙁
What is needed is the option for clients to make use of a proxy
AFTER the connection to the OpenVPN-server is made, like described in this
https://forums.openvpn.net/topic15299.html.
Both the official OpenVPN Android- and iOS-app (as well as many third party apps) have the possibility to connect to an OpenVPN-server
THROUGH a proxy, but that's not what we are looking for. We need the "dhcp-option PROXY_HTTP", and that is only implemented in the iOS app yet. With that option available you simply point (via that proxy-setting) to Privoxy, and it works perfectly fine once the OpenVPN-connection is made. With Privoxy runnning on the same server as OpenVPN, if you want.
This is a very elegant and simple solution, and you don' t have to fiddle around with iptables. But the client-app has to support it...
I've been using this setup for half a year now with an iPad, and it works flawlessly. The app i'm using is actually not the official one, since the first version of the official app where that "dhcp-option PROXY_HTTP" was introduced, was also the first version that didn't support iOS 5.1 anymore. And i got the iPad 1 that only goes to iOS 5.1, so i've got to use a third party app just for that functionality, see
https://forums.openvpn.net/topic14829.html.
Anyway, i'm so enthusiastic about that combination of OpenVPN and Privoxy, that i really would like to see that function implemented in the Android app as well. Since there was not a single response in my thread however, i opened a thread in the wishlist section, hoping it will be noticed there:
https://forums.openvpn.net/topic16179.html.
With that option available it really is a peace of cake to combine OpenVPN with Privoxy.
Maybe you could support the request by giving a reaction in that particular thread?